DFAU vs. MTUM

Last updated Jun 3, 2026

DFAU (Dimensional US Core Equity Market ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - DFAU is a Large Cap Blend Equities fund actively managed by Dimensional, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. DFAU is actively managed, while MTUM is passively managed. Over the past 5 years, DFAU returned 13.38%/yr vs 15.20%/yr for MTUM. Their correlation of 0.85 suggests significant overlap in exposure. DFAU charges 0.12%/yr vs 0.15%/yr for MTUM.

Performance

DFAU vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional US Core Equity Market ETF (DFAU) and iShares MSCI USA Momentum Factor ETF (MTUM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFAU achieves a 12.07% return, which is significantly lower than MTUM's 30.37% return.

DFAU

• 1D: 0.31%
• 1M: 5.21%
• YTD: 12.07%
• 6M: 12.52%
• 1Y: 30.31%
• 3Y*: 21.97%
• 5Y*: 13.38%
• 10Y*: —

MTUM

• 1D: 2.87%
• 1M: 14.36%
• YTD: 30.37%
• 6M: 31.51%
• 1Y: 40.75%
• 3Y*: 34.28%
• 5Y*: 15.20%
• 10Y*: 17.19%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DFAU vs. MTUM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
DFAU Dimensional US Core Equity Market ETF	12.07%	16.78%	23.17%	24.79%	-16.99%	26.89%	6.48%
MTUM iShares MSCI USA Momentum Factor ETF	30.37%	22.15%	32.89%	9.15%	-18.27%	13.36%	7.22%

Correlation

The correlation between DFAU and MTUM is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (All Time) Calculated using the full available price history since Nov 19, 2020	0.85

The correlation between DFAU and MTUM has been stable across timeframes, ranging from 0.84 to 0.87 - a consistent structural relationship.

DFAU vs. MTUM - Sectors Allocation Comparison

Sectors	DFAU	MTUM
Technology	32.7%	44.4%
Financial Services	12.8%	10.4%
Consumer Cyclical	10.8%	3.6%
Industrials	10.4%	15.6%
Communication Services	10.4%	7.4%
Healthcare	8.5%	6.9%
Consumer Defensive	4.8%	3.3%
Energy	4.6%	3.5%
Utilities	2.5%	1.6%
Basic Materials	2.4%	1.7%
Real Estate	0.2%	1.8%

Return for Risk

DFAU vs. MTUM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFAU

DFAU Risk / Return Rank: 76
DFAU Sharpe Ratio Rank: 77
DFAU Sortino Ratio Rank: 75
DFAU Omega Ratio Rank: 76
DFAU Calmar Ratio Rank: 70
DFAU Martin Ratio Rank: 81

MTUM

MTUM Risk / Return Rank: 67
MTUM Sharpe Ratio Rank: 64
MTUM Sortino Ratio Rank: 62
MTUM Omega Ratio Rank: 63
MTUM Calmar Ratio Rank: 72
MTUM Martin Ratio Rank: 75

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DFAU vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional US Core Equity Market ETF (DFAU) 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.

	DFAU	MTUM	Difference
Sharpe ratio Return per unit of total volatility	2.53	2.15	+0.38
Sortino ratio Return per unit of downside risk	3.43	2.92	+0.52
Omega ratio Gain probability vs. loss probability	1.46	1.39	+0.07
Calmar ratio Return relative to maximum drawdown	3.56	3.63	-0.07
Martin ratio Return relative to average drawdown	16.33	14.50	+1.83
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DFAU vs. MTUM - Sharpe Ratio Comparison

The current DFAU Sharpe Ratio is 2.53, which is comparable to the MTUM Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of DFAU and MTUM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DFAU	MTUM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.53	2.15	+0.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.79	0.74	+0.05
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.82	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.95	0.84	+0.11

Drawdowns

DFAU vs. MTUM - Drawdown Comparison

The maximum DFAU drawdown since its inception was -23.61%, smaller than the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for DFAU and MTUM.

Drawdown Indicators

	DFAU	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-23.61%	-34.08%	+10.47%
Max Drawdown (1Y) Largest decline over 1 year	-8.67%	-11.54%	+2.87%
Max Drawdown (3Y) Largest decline over 3 years	-19.36%	-20.99%	+1.63%
Max Drawdown (5Y) Largest decline over 5 years	-23.61%	-32.28%	+8.67%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.08%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-4.99%	-6.21%	+1.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.89%	2.89%	-1.00%

Volatility

DFAU vs. MTUM - Volatility Comparison

The current volatility for Dimensional US Core Equity Market ETF (DFAU) is 2.88%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 7.73%. This indicates that DFAU experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFAU	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.88%	7.73%	-4.85%
Volatility (6M) Calculated over the trailing 6-month period	9.02%	16.49%	-7.47%
Volatility (1Y) Calculated over the trailing 1-year period	12.04%	19.03%	-6.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.02%	20.59%	-3.57%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.74%	21.04%	-4.30%

DFAU vs. MTUM - Expense Ratio Comparison

DFAU has a 0.12% expense ratio, which is lower than MTUM's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

DFAU vs. MTUM - Dividend Comparison

DFAU's dividend yield for the trailing twelve months is around 0.89%, more than MTUM's 0.60% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFAU Dimensional US Core Equity Market ETF	0.89%	0.95%	1.10%	1.29%	1.40%	1.00%	0.13%	0.00%	0.00%	0.00%	0.00%	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

Can I hold both DFAU and MTUM in my portfolio?

DFAU and MTUM have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFAU or MTUM?

MTUM has higher volatility (7.73%) compared to DFAU (2.88%). In terms of maximum drawdown, DFAU dropped -23.61% vs MTUM's -34.08%.

Which ETF is better, DFAU or MTUM?

On 5-year performance, MTUM leads with 15.20% vs 13.38% for DFAU. On fees, DFAU is cheaper at 0.12% per year. On volatility, DFAU has been the lower-risk option at 2.88%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DFAU or MTUM?

Over the 5-year period, MTUM has performed better with a 15.20% return vs 13.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DFAU or MTUM?

DFAU is cheaper with a 0.12% expense ratio, compared with 0.15% for MTUM.

Which ETF pays a higher dividend yield, DFAU or MTUM?

DFAU has the higher dividend yield at 0.89%, compared with 0.60% for MTUM.

What is the main difference between DFAU and MTUM?

DFAU is categorized as Large Cap Blend Equities, while MTUM is Momentum. They also come from different issuers: Dimensional and iShares. Their fees differ too: 0.12% for DFAU and 0.15% for MTUM.

Which has better risk-adjusted returns?

DFAU currently has the higher Sharpe Ratio (2.53 vs 2.15), 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.