ATEYY vs. MTUM
ATEYY (Advantest Corp DRC) is a stock, while MTUM (iShares MSCI USA Momentum Factor ETF) is Momentum fund tracking the MSCI USA Momentum SR Variant Index. Over the past 10 years, ATEYY returned 52.36%/yr vs 17.31%/yr for MTUM. At a 0.36 correlation, their price movements are largely independent.
Performance
ATEYY vs. MTUM - Performance Comparison
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Returns By Period
In the year-to-date period, ATEYY achieves a 38.37% return, which is significantly higher than MTUM's 31.75% return. Over the past 10 years, ATEYY has outperformed MTUM with an annualized return of 52.36%, while MTUM has yielded a comparatively lower 17.31% annualized return.
ATEYY
- 1D
- 2.93%
- 1M
- -3.62%
- YTD
- 38.37%
- 6M
- 29.92%
- 1Y
- 237.06%
- 3Y*
- 77.03%
- 5Y*
- 49.06%
- 10Y*
- 52.36%
MTUM
- 1D
- 1.06%
- 1M
- 15.90%
- YTD
- 31.75%
- 6M
- 32.38%
- 1Y
- 41.76%
- 3Y*
- 34.75%
- 5Y*
- 15.21%
- 10Y*
- 17.31%
ATEYY vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ATEYY Advantest Corp DRC | 38.37% | 122.70% | 68.99% | 111.43% | -33.43% | 27.37% | 30.96% | 176.84% | 12.51% | 12.66% |
MTUM iShares MSCI USA Momentum Factor ETF | 31.75% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
Correlation
The correlation between ATEYY and MTUM is 0.59, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.59 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016 | 0.36 |
Over the past year, ATEYY and MTUM have become more correlated (0.59) than their long-term average of 0.36, meaning their price movements have been converging.
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Return for Risk
ATEYY vs. MTUM — Risk / Return Rank
ATEYY
MTUM
ATEYY vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Advantest Corp DRC (ATEYY) and iShares MSCI USA Momentum Factor ETF (MTUM). 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.
| ATEYY | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.40 | ||
| Sortino ratioReturn per unit of downside risk | +0.66 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.39 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 7.18 | 3.64 | +3.55 |
| Martin ratioReturn relative to average drawdown | 19.97 | 14.50 | +5.47 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ATEYY | MTUM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.61 | 2.20 | +1.40 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.95 | 0.74 | +0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.10 | 0.83 | +0.27 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.15 | 0.85 | +0.30 |
Drawdowns
ATEYY vs. MTUM - Drawdown Comparison
The maximum ATEYY drawdown since its inception was -56.48%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for ATEYY and MTUM.
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Drawdown Indicators
| ATEYY | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.48% | -34.08% | -22.40% |
Max Drawdown (1Y)Largest decline over 1 year | -33.24% | -11.54% | -21.70% |
Max Drawdown (3Y)Largest decline over 3 years | -44.70% | -20.99% | -23.71% |
Max Drawdown (5Y)Largest decline over 5 years | -56.48% | -32.28% | -24.20% |
Max Drawdown (10Y)Largest decline over 10 years | -56.48% | -34.08% | -22.40% |
Current DrawdownCurrent decline from peak | -11.86% | 0.00% | -11.86% |
Average DrawdownAverage peak-to-trough decline | -14.22% | -6.21% | -8.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.93% | 2.89% | +9.04% |
Volatility
ATEYY vs. MTUM - Volatility Comparison
Advantest Corp DRC (ATEYY) has a higher volatility of 16.87% compared to iShares MSCI USA Momentum Factor ETF (MTUM) at 7.68%. This indicates that ATEYY's price experiences larger fluctuations and is considered to be riskier than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ATEYY | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 16.87% | 7.68% | +9.19% |
Volatility (6M)Calculated over the trailing 6-month period | 49.48% | 16.46% | +33.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 66.17% | 19.04% | +47.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 52.18% | 20.60% | +31.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 47.98% | 21.03% | +26.95% |
Dividends
ATEYY vs. MTUM - Dividend Comparison
ATEYY has not paid dividends to shareholders, while MTUM's dividend yield for the trailing twelve months is around 0.60%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ATEYY Advantest Corp DRC | 0.00% | 0.11% | 0.22% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 1.18% | 1.24% | 0.00% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.60% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
Frequently Asked Questions
ATEYY and MTUM have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ATEYY has higher volatility (16.87%) compared to MTUM (7.68%). In terms of maximum drawdown, ATEYY dropped -56.48% vs MTUM's -34.08%.
ATEYY currently has the higher Sharpe Ratio (3.61 vs 2.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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