XMMO vs. QMOM
Compare and contrast key facts about Invesco S&P MidCap Momentum ETF (XMMO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM).
XMMO and QMOM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XMMO is a passively managed fund by Invesco that tracks the performance of the S&P MidCap 400 Index. It was launched on Mar 3, 2005. QMOM is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the Alpha Architect Quantity Momentum (USD)(TR). It was launched on Dec 2, 2015. Both XMMO and QMOM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XMMO or QMOM.
Performance
XMMO vs. QMOM - Performance Comparison
Returns By Period
In the year-to-date period, XMMO achieves a 42.74% return, which is significantly higher than QMOM's 35.73% return.
XMMO
42.74%
2.49%
10.77%
56.93%
17.58%
15.79%
QMOM
35.73%
1.56%
14.11%
48.92%
16.87%
N/A
Key characteristics
| XMMO | QMOM | |
|---|---|---|
| Sharpe Ratio | 2.83 | 2.37 |
| Sortino Ratio | 3.88 | 3.14 |
| Omega Ratio | 1.47 | 1.39 |
| Calmar Ratio | 4.24 | 1.57 |
| Martin Ratio | 19.22 | 16.74 |
| Ulcer Index | 2.89% | 2.86% |
| Daily Std Dev | 19.59% | 20.22% |
| Max Drawdown | -55.37% | -39.13% |
| Current Drawdown | -3.07% | -4.47% |
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XMMO vs. QMOM - Expense Ratio Comparison
XMMO has a 0.33% expense ratio, which is lower than QMOM's 0.49% expense ratio.
Correlation
The correlation between XMMO and QMOM is 0.79, 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.
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.
Dividends
XMMO vs. QMOM - Dividend Comparison
XMMO's dividend yield for the trailing twelve months is around 0.31%, less than QMOM's 0.64% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
XMMO Invesco S&P MidCap Momentum ETF | 0.31% | 0.80% | 1.43% | 0.41% | 0.61% | 0.60% | 0.19% | 0.21% | 0.22% | 0.64% | 1.24% | 1.31% |
QMOM Alpha Architect U.S. Quantitative Momentum ETF | 0.64% | 0.87% | 1.59% | 0.13% | 0.08% | 0.01% | 0.05% | 0.13% | 0.33% | 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.
Volatility
XMMO vs. QMOM - Volatility Comparison
Invesco S&P MidCap Momentum ETF (XMMO) and Alpha Architect U.S. Quantitative Momentum ETF (QMOM) have volatilities of 5.99% and 6.06%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.