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VFMO vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VFMO and QQQ is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

VFMO vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Momentum Factor ETF (VFMO) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
11.81%
8.18%
VFMO
QQQ

Key characteristics

Sharpe Ratio

VFMO:

1.55

QQQ:

1.63

Sortino Ratio

VFMO:

2.14

QQQ:

2.18

Omega Ratio

VFMO:

1.27

QQQ:

1.29

Calmar Ratio

VFMO:

2.48

QQQ:

2.15

Martin Ratio

VFMO:

9.36

QQQ:

7.73

Ulcer Index

VFMO:

3.23%

QQQ:

3.76%

Daily Std Dev

VFMO:

19.45%

QQQ:

17.84%

Max Drawdown

VFMO:

-36.77%

QQQ:

-82.98%

Current Drawdown

VFMO:

-6.41%

QQQ:

-3.77%

Returns By Period

The year-to-date returns for both stocks are quite close, with VFMO having a 27.79% return and QQQ slightly lower at 27.01%.


VFMO

YTD

27.79%

1M

-3.12%

6M

11.68%

1Y

30.18%

5Y*

15.14%

10Y*

N/A

QQQ

YTD

27.01%

1M

2.87%

6M

7.89%

1Y

29.11%

5Y*

20.41%

10Y*

18.29%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VFMO vs. QQQ - Expense Ratio Comparison

VFMO has a 0.13% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VFMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

VFMO vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) and Invesco QQQ (QQQ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for VFMO, currently valued at 1.55, compared to the broader market0.002.004.001.551.63
The chart of Sortino ratio for VFMO, currently valued at 2.14, compared to the broader market-2.000.002.004.006.008.0010.002.142.18
The chart of Omega ratio for VFMO, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.29
The chart of Calmar ratio for VFMO, currently valued at 2.48, compared to the broader market0.005.0010.0015.002.482.15
The chart of Martin ratio for VFMO, currently valued at 9.36, compared to the broader market0.0020.0040.0060.0080.00100.009.367.73
VFMO
QQQ

The current VFMO Sharpe Ratio is 1.55, which is comparable to the QQQ Sharpe Ratio of 1.63. The chart below compares the historical Sharpe Ratios of VFMO and QQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.55
1.63
VFMO
QQQ

Dividends

VFMO vs. QQQ - Dividend Comparison

VFMO's dividend yield for the trailing twelve months is around 0.45%, more than QQQ's 0.43% yield.


TTM20232022202120202019201820172016201520142013
VFMO
Vanguard U.S. Momentum Factor ETF
0.45%0.89%1.72%0.81%0.45%1.23%0.70%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.43%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

VFMO vs. QQQ - Drawdown Comparison

The maximum VFMO drawdown since its inception was -36.77%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for VFMO and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.41%
-3.77%
VFMO
QQQ

Volatility

VFMO vs. QQQ - Volatility Comparison

Vanguard U.S. Momentum Factor ETF (VFMO) has a higher volatility of 6.05% compared to Invesco QQQ (QQQ) at 5.27%. This indicates that VFMO's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.05%
5.27%
VFMO
QQQ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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