XMMO vs FMTM: returns, Sharpe ratio and drawdown
Performance
XMMO-0.41%FMTM+18.57%
Summary
XMMO vs FMTM
Over the past year, FMTM returned +18.57% against -0.41% for XMMO. FMTM had the higher Sharpe ratio over the past year (0.63 vs -0.05), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.99% for FMTM and -27.30% for XMMO. Dividends over the past year came to 0.73% of XMMO's price, against 0.26% for FMTM. Their daily returns had a correlation of 0.78 over the past year, which is high.
Ranking
How XMMO and FMTM rank
XMMOFMTM
Current Drawdown
XMMO-22.21%FMTM-14.53%
Rolling Volatility
XMMO36.68%FMTM29.54%
METRICS
Correlation Matrix
Fees and dividends
What XMMO and FMTM cost and pay
XMMOFMTMExpense ratio0.34%0.45%Yield0.73%0.26%Paid, past year$0.98$0.10PaysQuarterlyYearlyGrowth a year——Return with dividends+7.93%+18.57%1YReturn, price only+7.00%+18.23%1Y
XMMO charges 0.34% a year and FMTM 0.45%.
Metrics
Risk Indicators
XMMOFMTM
Alpha
XMMO
-14.17%
FMTM
2.43%
Beta
XMMO
1.32x
FMTM
1.49x
Sharpe
XMMO
-0.05
FMTM
0.63
Sortino
XMMO
-0.06
FMTM
0.87
Omega
XMMO
0.99
FMTM
1.11
Calmar
XMMO
-0.01
FMTM
1.16
Martin
XMMO
-0.13
FMTM
2.42
Comparisons