EVTMX vs. MTUM
Compare and contrast key facts about Eaton Vance Dividend Builder Fund (EVTMX) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
EVTMX is managed by Eaton Vance. It was launched on Dec 18, 1981. 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EVTMX or MTUM.
Performance
EVTMX vs. MTUM - Performance Comparison
Returns By Period
In the year-to-date period, EVTMX achieves a 17.95% return, which is significantly lower than MTUM's 36.84% return. Over the past 10 years, EVTMX has underperformed MTUM with an annualized return of 3.30%, while MTUM has yielded a comparatively higher 13.51% annualized return.
EVTMX
17.95%
1.64%
11.49%
22.53%
4.05%
3.30%
MTUM
36.84%
2.76%
13.68%
42.28%
13.18%
13.51%
Key characteristics
| EVTMX | MTUM | |
|---|---|---|
| Sharpe Ratio | 2.25 | 2.30 |
| Sortino Ratio | 3.11 | 3.10 |
| Omega Ratio | 1.41 | 1.40 |
| Calmar Ratio | 0.84 | 1.99 |
| Martin Ratio | 13.78 | 13.35 |
| Ulcer Index | 1.67% | 3.18% |
| Daily Std Dev | 10.26% | 18.46% |
| Max Drawdown | -65.04% | -34.08% |
| Current Drawdown | -10.56% | -0.01% |
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EVTMX vs. MTUM - Expense Ratio Comparison
EVTMX has a 0.99% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Correlation
The correlation between EVTMX and MTUM is 0.80, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
EVTMX vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Dividend Builder Fund (EVTMX) 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
EVTMX vs. MTUM - Dividend Comparison
EVTMX's dividend yield for the trailing twelve months is around 1.34%, more than MTUM's 0.54% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVTMX Eaton Vance Dividend Builder Fund | 1.34% | 1.58% | 2.42% | 1.73% | 1.55% | 1.69% | 2.11% | 1.81% | 1.95% | 1.80% | 1.37% | 1.34% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.54% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
EVTMX vs. MTUM - Drawdown Comparison
The maximum EVTMX drawdown since its inception was -65.04%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for EVTMX and MTUM. For additional features, visit the drawdowns tool.
Volatility
EVTMX vs. MTUM - Volatility Comparison
The current volatility for Eaton Vance Dividend Builder Fund (EVTMX) is 3.26%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 4.23%. This indicates that EVTMX 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.