FEX vs. MTUM

Last updated Jun 24, 2026

FEX (First Trust Large Cap Core AlphaDEX Fund) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - FEX is a Large Cap Blend Equities fund tracking the Nasdaq AlphaDEX Large Cap Core Index, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 10 years, FEX returned 13.56%/yr vs 17.49%/yr for MTUM. Their correlation of 0.81 suggests significant overlap in exposure. FEX charges 0.57%/yr vs 0.15%/yr for MTUM.

Performance

FEX vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Large Cap Core AlphaDEX Fund (FEX) 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, FEX achieves a 16.10% return, which is significantly lower than MTUM's 32.00% return. Over the past 10 years, FEX has underperformed MTUM with an annualized return of 13.56%, while MTUM has yielded a comparatively higher 17.49% annualized return.

FEX

• 1D: -1.34%
• 1M: 3.10%
• YTD: 16.10%
• 6M: 14.91%
• 1Y: 28.96%
• 3Y*: 20.58%
• 5Y*: 11.42%
• 10Y*: 13.56%

MTUM

• 1D: -4.48%
• 1M: 8.74%
• YTD: 32.00%
• 6M: 29.92%
• 1Y: 41.78%
• 3Y*: 33.87%
• 5Y*: 15.18%
• 10Y*: 17.49%

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

FEX vs. MTUM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEX First Trust Large Cap Core AlphaDEX Fund	16.10%	15.05%	17.07%	14.31%	-11.86%	26.83%	14.28%	26.93%	-9.89%	21.41%
MTUM iShares MSCI USA Momentum Factor ETF	32.00%	22.15%	32.89%	9.15%	-18.27%	13.36%	29.86%	27.25%	-1.67%	37.50%

Correlation

The correlation between FEX and MTUM is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.74
Correlation (3Y) Calculated over the trailing 3-year period	0.76
Correlation (5Y) Calculated over the trailing 5-year period	0.81
Correlation (10Y) Calculated over the trailing 10-year period	0.80
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013	0.81

The correlation between FEX and MTUM has been stable across timeframes, ranging from 0.74 to 0.81 - a consistent structural relationship.

FEX vs. MTUM - Sectors Allocation Comparison

Sectors	FEX	MTUM
Technology	22.2%	50.2%
Industrials	18.8%	15.0%
Financial Services	13.6%	5.0%
Healthcare	8.8%	3.5%
Consumer Cyclical	8.3%	2.9%
Utilities	7.0%	0.6%
Energy	5.6%	10.5%
Real Estate	4.5%	1.3%
Consumer Defensive	4.3%	3.7%
Basic Materials	3.5%	2.3%
Communication Services	3.4%	5.1%

Return for Risk

FEX vs. MTUM — Risk / Return Rank

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

FEX

FEX Risk / Return Rank: 78
FEX Sharpe Ratio Rank: 74
FEX Sortino Ratio Rank: 74
FEX Omega Ratio Rank: 70
FEX Calmar Ratio Rank: 87
FEX Martin Ratio Rank: 85

MTUM

MTUM Risk / Return Rank: 64
MTUM Sharpe Ratio Rank: 59
MTUM Sortino Ratio Rank: 54
MTUM Omega Ratio Rank: 59
MTUM Calmar Ratio Rank: 74
MTUM Martin Ratio Rank: 76

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.

FEX vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Large Cap Core AlphaDEX Fund (FEX) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	FEX	MTUM	Difference
Sharpe ratio: Return per unit of total volatility	2.21	1.92	+0.29
Sortino ratio: Return per unit of downside risk	3.05	2.53	+0.52
Omega ratio: Gain probability vs. loss probability	1.39	1.35	+0.04
Calmar ratio: Return relative to maximum drawdown	4.67	3.64	+1.03
Martin ratio: Return relative to average drawdown	16.75	13.91	+2.84

FEX vs. MTUM - Sharpe Ratio Comparison

The current FEX Sharpe Ratio is 2.21, which is comparable to the MTUM Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of FEX 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.

Drawdowns

FEX vs. MTUM - Drawdown Comparison

The maximum FEX drawdown since its inception was -58.81%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for FEX and MTUM.

Drawdown Indicators

	FEX	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-58.81%	-34.08%	-24.73%
Max Drawdown (1Y) Largest decline over 1 year	-6.23%	-11.54%	+5.31%
Max Drawdown (3Y) Largest decline over 3 years	-19.58%	-20.99%	+1.41%
Max Drawdown (5Y) Largest decline over 5 years	-21.27%	-32.28%	+11.01%
Max Drawdown (10Y) Largest decline over 10 years	-39.51%	-34.08%	-5.43%
Current Drawdown Current decline from peak	-1.34%	-4.48%	+3.14%
Average Drawdown Average peak-to-trough decline	-7.87%	-6.19%	-1.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.73%	3.01%	-1.28%

Volatility

FEX vs. MTUM - Volatility Comparison

The current volatility for First Trust Large Cap Core AlphaDEX Fund (FEX) is 5.09%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 12.20%. This indicates that FEX 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

	FEX	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.09%	12.20%	-7.11%
Volatility (6M) Calculated over the trailing 6-month period	9.99%	19.44%	-9.45%
Volatility (1Y) Calculated over the trailing 1-year period	13.19%	21.93%	-8.74%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.57%	21.15%	-4.58%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.60%	21.31%	-2.71%

FEX vs. MTUM - Expense Ratio Comparison

FEX has a 0.57% expense ratio, which is higher than MTUM's 0.15% expense ratio.

Dividends

FEX vs. MTUM - Dividend Comparison

FEX's dividend yield for the trailing twelve months is around 0.94%, more than MTUM's 0.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FEX First Trust Large Cap Core AlphaDEX Fund	0.94%	1.10%	1.18%	1.38%	1.61%	0.80%	1.21%	1.32%	1.34%	1.07%	1.29%	1.33%
MTUM iShares MSCI USA Momentum Factor ETF	0.56%	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 FEX and MTUM in my portfolio?

FEX and MTUM have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEX or MTUM?

MTUM has higher volatility (12.20%) compared to FEX (5.09%). In terms of maximum drawdown, FEX dropped -58.81% vs MTUM's -34.08%.

Which ETF is better, FEX or MTUM?

On 10-year performance, MTUM leads with 17.49% vs 13.56% for FEX. On fees, MTUM is cheaper at 0.15% per year. On volatility, FEX has been the lower-risk option at 5.09%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEX or MTUM?

Over the 10-year period, MTUM has performed better with a 17.49% return vs 13.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEX or MTUM?

MTUM is cheaper with a 0.15% expense ratio, compared with 0.57% for FEX.

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

FEX has the higher dividend yield at 0.94%, compared with 0.56% for MTUM.

What is the main difference between FEX and MTUM?

FEX is categorized as Large Cap Blend Equities, while MTUM is Momentum. FEX tracks Nasdaq AlphaDEX Large Cap Core Index, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: First Trust and iShares. Their fees differ too: 0.57% for FEX and 0.15% for MTUM.

Which has better risk-adjusted returns?

FEX currently has the higher Sharpe Ratio (2.21 vs 1.92), 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.