FAB vs. MTUM

Last updated Jun 4, 2026

FAB (First Trust Multi Cap Value AlphaDEX Fund) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - FAB is a Mid Cap Value Equities fund tracking the NASDAQ AlphaDEX Multi Cap Value Index, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 10 years, FAB returned 10.39%/yr vs 17.31%/yr for MTUM. A 0.57 correlation means they provide meaningful diversification when combined. FAB charges 0.64%/yr vs 0.15%/yr for MTUM.

Performance

FAB vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Multi Cap Value AlphaDEX Fund (FAB) 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, FAB achieves a 10.72% return, which is significantly lower than MTUM's 31.75% return. Over the past 10 years, FAB has underperformed MTUM with an annualized return of 10.39%, while MTUM has yielded a comparatively higher 17.31% annualized return.

FAB

• 1D: -0.79%
• 1M: 0.77%
• YTD: 10.72%
• 6M: 11.08%
• 1Y: 26.09%
• 3Y*: 15.20%
• 5Y*: 7.87%
• 10Y*: 10.39%

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%

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

FAB vs. MTUM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FAB First Trust Multi Cap Value AlphaDEX Fund	10.72%	9.86%	7.82%	15.81%	-6.79%	30.83%	2.40%	23.73%	-14.62%	14.62%
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 FAB and MTUM is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.37
Correlation (3Y) Calculated over the trailing 3-year period	0.45
Correlation (5Y) Calculated over the trailing 5-year period	0.59
Correlation (10Y) Calculated over the trailing 10-year period	0.54
Correlation (All Time) Calculated using the full available price history since Apr 19, 2013	0.57

The correlation between FAB and MTUM shifts across timeframes, from 0.37 (1 year) to 0.59 (5 years), reflecting how their relationship changes across market environments.

FAB vs. MTUM - Sectors Allocation Comparison

Sectors	FAB	MTUM
Financial Services	23.9%	10.4%
Consumer Cyclical	13.9%	3.6%
Industrials	12.0%	15.6%
Energy	8.3%	3.5%
Technology	7.9%	44.4%
Real Estate	7.7%	1.8%
Healthcare	7.1%	6.9%
Utilities	6.2%	1.6%
Consumer Defensive	5.9%	3.3%
Basic Materials	3.9%	1.7%
Communication Services	2.7%	7.4%

Return for Risk

FAB vs. MTUM — Risk / Return Rank

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

FAB

FAB Risk / Return Rank: 63
FAB Sharpe Ratio Rank: 56
FAB Sortino Ratio Rank: 62
FAB Omega Ratio Rank: 54
FAB Calmar Ratio Rank: 78
FAB Martin Ratio Rank: 67

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: 71
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.

FAB vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Multi Cap Value AlphaDEX Fund (FAB) 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.

	FAB	MTUM	Difference
Sharpe ratio Return per unit of total volatility	1.91	2.20	-0.30
Sortino ratio Return per unit of downside risk	2.92	2.98	-0.06
Omega ratio Gain probability vs. loss probability	1.34	1.39	-0.06
Calmar ratio Return relative to maximum drawdown	3.94	3.64	+0.31
Martin ratio Return relative to average drawdown	12.25	14.50	-2.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FAB vs. MTUM - Sharpe Ratio Comparison

The current FAB Sharpe Ratio is 1.91, which is comparable to the MTUM Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of FAB 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

	FAB	MTUM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.91	2.20	-0.30
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.42	0.74	-0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.47	0.83	-0.35
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.85	-0.51

Drawdowns

FAB vs. MTUM - Drawdown Comparison

The maximum FAB drawdown since its inception was -63.29%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for FAB and MTUM.

Drawdown Indicators

	FAB	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-63.29%	-34.08%	-29.21%
Max Drawdown (1Y) Largest decline over 1 year	-6.65%	-11.54%	+4.89%
Max Drawdown (3Y) Largest decline over 3 years	-22.91%	-20.99%	-1.92%
Max Drawdown (5Y) Largest decline over 5 years	-22.91%	-32.28%	+9.37%
Max Drawdown (10Y) Largest decline over 10 years	-47.08%	-34.08%	-13.00%
Current Drawdown Current decline from peak	-0.98%	0.00%	-0.98%
Average Drawdown Average peak-to-trough decline	-9.25%	-6.21%	-3.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.14%	2.89%	-0.75%

Volatility

FAB vs. MTUM - Volatility Comparison

The current volatility for First Trust Multi Cap Value AlphaDEX Fund (FAB) is 3.15%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 7.68%. This indicates that FAB 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

	FAB	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.15%	7.68%	-4.53%
Volatility (6M) Calculated over the trailing 6-month period	8.64%	16.46%	-7.82%
Volatility (1Y) Calculated over the trailing 1-year period	13.81%	19.04%	-5.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.72%	20.60%	-1.88%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.06%	21.03%	+1.03%

FAB vs. MTUM - Expense Ratio Comparison

FAB has a 0.64% expense ratio, which is higher than MTUM's 0.15% expense ratio.

Dividends

FAB vs. MTUM - Dividend Comparison

FAB's dividend yield for the trailing twelve months is around 1.59%, more than MTUM's 0.60% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FAB First Trust Multi Cap Value AlphaDEX Fund	1.59%	1.57%	2.00%	1.94%	1.80%	1.32%	1.59%	1.75%	1.96%	1.42%	1.40%	1.62%
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 FAB and MTUM in my portfolio?

FAB and MTUM have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FAB or MTUM?

MTUM has higher volatility (7.68%) compared to FAB (3.15%). In terms of maximum drawdown, FAB dropped -63.29% vs MTUM's -34.08%.

Which ETF is better, FAB or MTUM?

On 10-year performance, MTUM leads with 17.31% vs 10.39% for FAB. On fees, MTUM is cheaper at 0.15% per year. On volatility, FAB has been the lower-risk option at 3.15%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FAB or MTUM?

Over the 10-year period, MTUM has performed better with a 17.31% return vs 10.39%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FAB or MTUM?

MTUM is cheaper with a 0.15% expense ratio, compared with 0.64% for FAB.

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

FAB has the higher dividend yield at 1.59%, compared with 0.60% for MTUM.

What is the main difference between FAB and MTUM?

FAB is categorized as Mid Cap Value Equities, while MTUM is Momentum. FAB tracks NASDAQ AlphaDEX Multi Cap Value Index, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.64% for FAB and 0.15% for MTUM.

Which has better risk-adjusted returns?

MTUM currently has the higher Sharpe Ratio (2.20 vs 1.91), 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.