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XMMO vs. QMOM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XMMOQMOM
YTD Return23.13%14.49%
1Y Return48.15%31.70%
3Y Return (Ann)9.95%3.13%
5Y Return (Ann)14.60%14.33%
Sharpe Ratio2.831.74
Daily Std Dev17.30%18.93%
Max Drawdown-55.37%-39.13%
Current Drawdown-3.81%-12.68%

Correlation

-0.50.00.51.00.8

The correlation between XMMO and QMOM 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.

Performance

XMMO vs. QMOM - Performance Comparison

In the year-to-date period, XMMO achieves a 23.13% return, which is significantly higher than QMOM's 14.49% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


100.00%150.00%200.00%250.00%300.00%NovemberDecember2024FebruaryMarchApril
276.62%
136.75%
XMMO
QMOM

Compare stocks, funds, or ETFs

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


Invesco S&P MidCap Momentum ETF

Alpha Architect U.S. Quantitative Momentum ETF

XMMO vs. QMOM - Expense Ratio Comparison

XMMO has a 0.33% expense ratio, which is lower than QMOM's 0.49% expense ratio.


QMOM
Alpha Architect U.S. Quantitative Momentum ETF
Expense ratio chart for QMOM: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for XMMO: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%

Risk-Adjusted Performance

XMMO vs. QMOM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap Momentum ETF (XMMO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM). 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.


XMMO
Sharpe ratio
The chart of Sharpe ratio for XMMO, currently valued at 2.83, compared to the broader market-1.000.001.002.003.004.005.002.83
Sortino ratio
The chart of Sortino ratio for XMMO, currently valued at 4.01, compared to the broader market-2.000.002.004.006.008.004.01
Omega ratio
The chart of Omega ratio for XMMO, currently valued at 1.48, compared to the broader market0.501.001.502.002.501.48
Calmar ratio
The chart of Calmar ratio for XMMO, currently valued at 2.12, compared to the broader market0.002.004.006.008.0010.0012.002.12
Martin ratio
The chart of Martin ratio for XMMO, currently valued at 17.36, compared to the broader market0.0020.0040.0060.0017.36
QMOM
Sharpe ratio
The chart of Sharpe ratio for QMOM, currently valued at 1.74, compared to the broader market-1.000.001.002.003.004.005.001.74
Sortino ratio
The chart of Sortino ratio for QMOM, currently valued at 2.46, compared to the broader market-2.000.002.004.006.008.002.46
Omega ratio
The chart of Omega ratio for QMOM, currently valued at 1.29, compared to the broader market0.501.001.502.002.501.29
Calmar ratio
The chart of Calmar ratio for QMOM, currently valued at 0.84, compared to the broader market0.002.004.006.008.0010.0012.000.84
Martin ratio
The chart of Martin ratio for QMOM, currently valued at 5.89, compared to the broader market0.0020.0040.0060.005.89

XMMO vs. QMOM - Sharpe Ratio Comparison

The current XMMO Sharpe Ratio is 2.83, which is higher than the QMOM Sharpe Ratio of 1.74. The chart below compares the 12-month rolling Sharpe Ratio of XMMO and QMOM.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00NovemberDecember2024FebruaryMarchApril
2.83
1.74
XMMO
QMOM

Dividends

XMMO vs. QMOM - Dividend Comparison

XMMO's dividend yield for the trailing twelve months is around 0.46%, less than QMOM's 0.76% yield.


TTM20232022202120202019201820172016201520142013
XMMO
Invesco S&P MidCap Momentum ETF
0.46%0.80%1.43%0.41%0.61%0.60%0.19%0.21%0.22%0.64%1.24%1.30%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
0.76%0.87%1.59%0.12%0.08%0.01%0.05%0.13%0.34%0.01%0.00%0.00%

Drawdowns

XMMO vs. QMOM - Drawdown Comparison

The maximum XMMO drawdown since its inception was -55.37%, which is greater than QMOM's maximum drawdown of -39.13%. Use the drawdown chart below to compare losses from any high point for XMMO and QMOM. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.81%
-12.68%
XMMO
QMOM

Volatility

XMMO vs. QMOM - Volatility Comparison

The current volatility for Invesco S&P MidCap Momentum ETF (XMMO) is 4.65%, while Alpha Architect U.S. Quantitative Momentum ETF (QMOM) has a volatility of 6.65%. This indicates that XMMO experiences smaller price fluctuations and is considered to be less risky than QMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%NovemberDecember2024FebruaryMarchApril
4.65%
6.65%
XMMO
QMOM