JMOM — JPMorgan U.S. Momentum Factor ETF
Established live fund
Full long-run factor record
What JMOM Is
JMOM (JPMorgan U.S. Momentum Factor ETF) from J.P. Morgan is a US equity ETF with $2.1B in assets, regressed on the FF6 US over 101 months. The fund tilts toward momentum (umd) (β=0.20). Backtested-simulation excess return is +7.64% annualized; the in-sample realized excess was +12.41%.
Why JMOM Ranks This Way
- Backtested relative Sharpe is 1.10, above the market's 1.00 benchmark.
- Realized relative Sharpe is 1.08 over the fund's 101-month live sample.
- Strongest non-market tilts point toward momentum (umd) (β=0.20) and away from investment (cma) (β=-0.06).
- Dividend valuation is close to its historical median at 119 on a 100 median scale.
This fund is classified as US Equity because that factor set produced the strongest accepted fit. Backtested figures use the winning model's full factor history (1963-Jul → 2026-Apr, 754 months), while the betas themselves are estimated over the fund-overlap window (101 months).
| Factor | β | t-stat | Backtested % | Realized % |
|---|---|---|---|---|
| Size (SMB) | 0.055 | 1.32 | +0.12% | -0.14% |
| Value (HML) | -0.056 | -1.62 | -0.20% | +0.03% |
| Profitability (RMW) | 0.017 | 0.37 | +0.05% | +0.05% |
| Investment (CMA) | -0.057 | -1.13 | -0.17% | +0.00% |
| Momentum (UMD) | 0.204 | 7.36 | +1.46% | +0.76% |
| Non-Market Factor Contribution · combined non-market series | +1.25% | +0.70% | ||
| Alpha (intercept) | — | 0.03 | +0.04% | |
| Smart-Beta Net · combined non-market series + alpha | +1.29% | +0.74% | ||
| + Mkt-RF contribution · market | 1.027 | 47.82 | +6.26% | +11.53% |
| = Total excess return | +7.64% | +12.41% | ||
| + Rf base (%) | 4.44% → 12.08% total | 2.54% → 14.95% total | ||
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<iframe src="https://verifiedbeta.com/embed/us/JMOM/waterfall/" width="720" height="540" style="border:0;" loading="lazy"></iframe>Verified Factor-Similar ETFs
These funds share the same statistically significant, material FF6 non-market factor set as JMOM. Broad-market funds are excluded unless they have verified factor exposure.
2 additional factor-similar ETFs are held back for the future comparison view.
FAQ
What does this JMOM ETF page measure?
This page evaluates JMOM using factor regressions, relative Sharpe, valuation, and peer context. It is designed for ETF due diligence rather than quote tracking.
Why can Backtested Sim. and Realized differ?
Both views use the same estimated betas. The difference is the return window: Backtested Sim. applies them to the full factor history, while Realized applies them only during the fund's live sample.
Why might a high-return fund still look weak here?
A fund can post strong raw returns and still look unattractive on this screen if its non-market factor capture is weak, its implementation drag is high, or its volatility-adjusted return profile is weaker than the market.
How should US investors use this page?
Use it as a starting point for ETF selection: check whether the fund's live behavior, valuation, and peer context line up with the story the product label implies.
Factor decomposition shows what JMOM's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.
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