DWX vs. MTUM
Compare and contrast key facts about SPDR S&P International Dividend ETF (DWX) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
DWX and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DWX is a passively managed fund by State Street that tracks the performance of the S&P International Dividend Opportunities Index. It was launched on Feb 12, 2008. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013. Both DWX and MTUM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DWX or MTUM.
Key characteristics
| DWX | MTUM | |
|---|---|---|
| YTD Return | 5.62% | 34.06% |
| 1Y Return | 13.70% | 45.68% |
| 3Y Return (Ann) | 1.86% | 4.19% |
| 5Y Return (Ann) | 2.37% | 13.05% |
| 10Y Return (Ann) | 2.38% | 13.52% |
| Sharpe Ratio | 1.29 | 2.48 |
| Sortino Ratio | 1.86 | 3.31 |
| Omega Ratio | 1.23 | 1.44 |
| Calmar Ratio | 1.31 | 2.00 |
| Martin Ratio | 5.86 | 14.45 |
| Ulcer Index | 2.24% | 3.17% |
| Daily Std Dev | 10.19% | 18.48% |
| Max Drawdown | -66.86% | -34.08% |
| Current Drawdown | -6.33% | 0.00% |
Correlation
The correlation between DWX and MTUM is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
DWX vs. MTUM - Performance Comparison
In the year-to-date period, DWX achieves a 5.62% return, which is significantly lower than MTUM's 34.06% return. Over the past 10 years, DWX has underperformed MTUM with an annualized return of 2.38%, while MTUM has yielded a comparatively higher 13.52% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DWX vs. MTUM - Expense Ratio Comparison
DWX has a 0.45% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Risk-Adjusted Performance
DWX vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P International Dividend ETF (DWX) and iShares Edge 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.
Dividends
DWX vs. MTUM - Dividend Comparison
DWX's dividend yield for the trailing twelve months is around 4.30%, more than MTUM's 0.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DWX SPDR S&P International Dividend ETF | 4.30% | 4.12% | 4.68% | 3.89% | 3.84% | 4.40% | 5.06% | 3.85% | 5.26% | 5.81% | 6.02% | 6.85% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.55% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
DWX vs. MTUM - Drawdown Comparison
The maximum DWX drawdown since its inception was -66.86%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for DWX and MTUM. For additional features, visit the drawdowns tool.
Volatility
DWX vs. MTUM - Volatility Comparison
The current volatility for SPDR S&P International Dividend ETF (DWX) is 2.84%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 4.04%. This indicates that DWX 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.