FAB vs. MTUM

Last updated Apr 2, 2026

Compare and contrast key facts about First Trust Multi Cap Value AlphaDEX Fund (FAB) and iShares MSCI USA Momentum Factor ETF (MTUM).

FAB and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FAB is a passively managed fund by First Trust that tracks the performance of the NASDAQ AlphaDEX Multi Cap Value Index. It was launched on May 8, 2007. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum SR Variant Index. It was launched on Apr 16, 2013. Both FAB 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.

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.

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	6.42%	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	-1.94%	22.15%	32.89%	9.15%	-18.27%	13.36%	29.86%	27.25%	-1.67%	37.50%

Returns By Period

In the year-to-date period, FAB achieves a 6.42% return, which is significantly higher than MTUM's -1.94% return. Over the past 10 years, FAB has underperformed MTUM with an annualized return of 10.13%, while MTUM has yielded a comparatively higher 14.08% annualized return.

FAB

• 1D: -0.04%
• 1M: -3.11%
• YTD: 6.42%
• 6M: 8.71%
• 1Y: 20.61%
• 3Y*: 12.82%
• 5Y*: 8.31%
• 10Y*: 10.13%

MTUM

• 1D: 2.19%
• 1M: -3.25%
• YTD: -1.94%
• 6M: -3.82%
• 1Y: 21.46%
• 3Y*: 21.93%
• 5Y*: 9.69%
• 10Y*: 14.08%

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

FAB vs. MTUM - Expense Ratio Comparison

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

FAB

First Trust Multi Cap Value AlphaDEX Fund

MTUM

iShares MSCI USA Momentum Factor ETF

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: 56
FAB Sharpe Ratio Rank: 55
FAB Sortino Ratio Rank: 59
FAB Omega Ratio Rank: 56
FAB Calmar Ratio Rank: 51
FAB Martin Ratio Rank: 58

MTUM

MTUM Risk / Return Rank: 58
MTUM Sharpe Ratio Rank: 50
MTUM Sortino Ratio Rank: 52
MTUM Omega Ratio Rank: 52
MTUM Calmar Ratio Rank: 69
MTUM Martin Ratio Rank: 66

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	1.04	0.94	+0.10
Sortino ratio Return per unit of downside risk	1.60	1.42	+0.18
Omega ratio Gain probability vs. loss probability	1.22	1.20	+0.01
Calmar ratio Return relative to maximum drawdown	1.45	1.82	-0.37
Martin ratio Return relative to average drawdown	6.22	6.83	-0.61
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 1.04, which is comparable to the MTUM Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of FAB and MTUM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	FAB	MTUM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.04	0.94	+0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.44	0.48	-0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	0.68	-0.22
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.73	-0.39

Correlation

The correlation between FAB 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.

Dividends

FAB vs. MTUM - Dividend Comparison

FAB's dividend yield for the trailing twelve months is around 1.66%, more than MTUM's 0.80% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FAB First Trust Multi Cap Value AlphaDEX Fund	1.66%	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	0.80%	0.91%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%

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	-14.51%	-12.26%	-2.25%
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	-3.83%	-6.00%	+2.17%
Average Drawdown Average peak-to-trough decline	-9.32%	-6.28%	-3.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.37%	3.26%	+0.11%

Volatility

FAB vs. MTUM - Volatility Comparison

The current volatility for First Trust Multi Cap Value AlphaDEX Fund (FAB) is 3.68%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 8.49%. 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	3.68%	8.49%	-4.81%
Volatility (6M) Calculated over the trailing 6-month period	9.77%	14.74%	-4.97%
Volatility (1Y) Calculated over the trailing 1-year period	19.96%	23.02%	-3.06%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.78%	20.39%	-1.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.10%	20.83%	+1.27%