(VMO) Vanguard Global Momentum - Ratings and Ratios

The Vanguard Global Momentum Factor ETF CAD (VMO) is designed to deliver long-term capital appreciation by investing in equities from developed markets worldwide that have demonstrated strong recent performance, aiming to capture potential excess returns. This ETF is part of Vanguards suite of factor-based investment products, which focus on specific drivers of return across asset classes.

From a portfolio construction perspective, VMO tracks the Morningstar Global Markets GR CAD Index, which serves as a benchmark for the global equity universe. By targeting stocks with high momentum, the ETF is positioned to capitalize on the persistence of this factor in the market, potentially outperforming the broader global equity market over the long term.

To evaluate the effectiveness of VMOs strategy, key performance indicators (KPIs) such as the information ratio, tracking error, and factor exposure can be employed. The information ratio measures the ETFs excess return relative to its benchmark, adjusted for the volatility of those excess returns. A higher information ratio indicates better risk-adjusted performance. Tracking error, on the other hand, quantifies the deviation of the ETFs returns from its benchmark, with lower values indicating closer alignment. Factor exposure analysis can help assess the ETFs sensitivity to the momentum factor, providing insight into its ability to capture the desired premium.

Additional KPIs that can be used to assess VMO include its Sharpe ratio, which evaluates the ETFs risk-adjusted returns relative to a risk-free rate, and its beta, which measures the ETFs systematic risk relative to the broader market. By examining these metrics, investors can gain a more comprehensive understanding of VMOs performance and its potential role within a diversified investment portfolio.