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FALN vs. MTUM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FALN and MTUM is 0.52, 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.


-0.50.00.51.00.5

Performance

FALN vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Fallen Angels USD Bond ETF (FALN) and iShares Edge MSCI USA Momentum Factor ETF (MTUM). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
70.65%
211.90%
FALN
MTUM

Key characteristics

Sharpe Ratio

FALN:

1.58

MTUM:

1.94

Sortino Ratio

FALN:

2.21

MTUM:

2.62

Omega Ratio

FALN:

1.28

MTUM:

1.34

Calmar Ratio

FALN:

1.95

MTUM:

1.98

Martin Ratio

FALN:

10.12

MTUM:

11.33

Ulcer Index

FALN:

0.73%

MTUM:

3.23%

Daily Std Dev

FALN:

4.67%

MTUM:

18.94%

Max Drawdown

FALN:

-29.22%

MTUM:

-34.08%

Current Drawdown

FALN:

-1.52%

MTUM:

-3.55%

Returns By Period

In the year-to-date period, FALN achieves a 7.61% return, which is significantly lower than MTUM's 34.29% return.


FALN

YTD

7.61%

1M

-0.26%

6M

4.72%

1Y

7.12%

5Y*

5.02%

10Y*

N/A

MTUM

YTD

34.29%

1M

-0.84%

6M

7.61%

1Y

34.86%

5Y*

12.03%

10Y*

13.18%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FALN vs. MTUM - Expense Ratio Comparison

FALN has a 0.25% expense ratio, which is higher than MTUM's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FALN
iShares Fallen Angels USD Bond ETF
Expense ratio chart for FALN: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for MTUM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

FALN vs. MTUM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Fallen Angels USD Bond ETF (FALN) 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.


Sharpe ratio
The chart of Sharpe ratio for FALN, currently valued at 1.58, compared to the broader market0.002.004.001.581.94
The chart of Sortino ratio for FALN, currently valued at 2.21, compared to the broader market-2.000.002.004.006.008.0010.002.212.62
The chart of Omega ratio for FALN, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.34
The chart of Calmar ratio for FALN, currently valued at 1.95, compared to the broader market0.005.0010.0015.001.951.98
The chart of Martin ratio for FALN, currently valued at 10.12, compared to the broader market0.0020.0040.0060.0080.00100.0010.1211.33
FALN
MTUM

The current FALN Sharpe Ratio is 1.58, which is comparable to the MTUM Sharpe Ratio of 1.94. The chart below compares the historical Sharpe Ratios of FALN 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.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.58
1.94
FALN
MTUM

Dividends

FALN vs. MTUM - Dividend Comparison

FALN's dividend yield for the trailing twelve months is around 6.24%, more than MTUM's 0.74% yield.


TTM20232022202120202019201820172016201520142013
FALN
iShares Fallen Angels USD Bond ETF
6.24%5.38%5.08%3.39%5.14%5.35%5.97%6.99%3.54%0.00%0.00%0.00%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.74%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%1.02%

Drawdowns

FALN vs. MTUM - Drawdown Comparison

The maximum FALN drawdown since its inception was -29.22%, smaller than the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for FALN and MTUM. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.52%
-3.55%
FALN
MTUM

Volatility

FALN vs. MTUM - Volatility Comparison

The current volatility for iShares Fallen Angels USD Bond ETF (FALN) is 1.68%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 5.67%. This indicates that FALN 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.


0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.68%
5.67%
FALN
MTUM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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