GACA.DE vs. MTUM
Compare and contrast key facts about Goldman Sachs ActiveBeta US Large Cap Equity UCITS ETF CLASS USD (Acc.) (GACA.DE) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
GACA.DE and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GACA.DE is a passively managed fund by Goldman Sachs that tracks the performance of the Goldman Sachs ActiveBeta US Large Cap Equity. It was launched on Sep 23, 2019. 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. Both GACA.DE 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GACA.DE or MTUM.
Key characteristics
| GACA.DE | MTUM | |
|---|---|---|
| YTD Return | 23.07% | 28.84% |
| 1Y Return | 31.28% | 40.94% |
| 3Y Return (Ann) | 9.73% | 2.83% |
| 5Y Return (Ann) | 14.39% | 12.33% |
| Sharpe Ratio | 2.73 | 2.32 |
| Sortino Ratio | 3.57 | 3.11 |
| Omega Ratio | 1.54 | 1.41 |
| Calmar Ratio | 3.68 | 1.83 |
| Martin Ratio | 16.09 | 13.42 |
| Ulcer Index | 1.91% | 3.17% |
| Daily Std Dev | 11.24% | 18.33% |
| Max Drawdown | -33.50% | -34.08% |
| Current Drawdown | -3.02% | -3.83% |
Correlation
The correlation between GACA.DE 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.
Performance
GACA.DE vs. MTUM - Performance Comparison
In the year-to-date period, GACA.DE achieves a 23.07% return, which is significantly lower than MTUM's 28.84% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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GACA.DE vs. MTUM - Expense Ratio Comparison
GACA.DE has a 0.14% expense ratio, which is lower than MTUM's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
GACA.DE vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs ActiveBeta US Large Cap Equity UCITS ETF CLASS USD (Acc.) (GACA.DE) 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
GACA.DE vs. MTUM - Dividend Comparison
GACA.DE has not paid dividends to shareholders, while MTUM's dividend yield for the trailing twelve months is around 0.58%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GACA.DE Goldman Sachs ActiveBeta US Large Cap Equity UCITS ETF CLASS USD (Acc.) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.58% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
GACA.DE vs. MTUM - Drawdown Comparison
The maximum GACA.DE drawdown since its inception was -33.50%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for GACA.DE and MTUM. For additional features, visit the drawdowns tool.
Volatility
GACA.DE vs. MTUM - Volatility Comparison
The current volatility for Goldman Sachs ActiveBeta US Large Cap Equity UCITS ETF CLASS USD (Acc.) (GACA.DE) is 2.48%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 3.11%. This indicates that GACA.DE 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.