IBM vs. MTUM
IBM (International Business Machines Corporation) is a stock, while MTUM (iShares MSCI USA Momentum Factor ETF) is Momentum fund tracking the MSCI USA Momentum SR Variant Index. Over the past 10 years, IBM returned 10.88%/yr vs 17.54%/yr for MTUM. At a 0.46 correlation, their price movements are largely independent.
Performance
IBM vs. MTUM - Performance Comparison
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Returns By Period
In the year-to-date period, IBM achieves a -8.10% return, which is significantly lower than MTUM's 33.55% return. Over the past 10 years, IBM has underperformed MTUM with an annualized return of 10.88%, while MTUM has yielded a comparatively higher 17.54% annualized return.
IBM
- 1D
- -1.30%
- 1M
- 22.53%
- YTD
- -8.10%
- 6M
- -11.80%
- 1Y
- -0.59%
- 3Y*
- 29.13%
- 5Y*
- 18.25%
- 10Y*
- 10.88%
MTUM
- 1D
- 2.96%
- 1M
- 11.98%
- YTD
- 33.55%
- 6M
- 34.98%
- 1Y
- 46.22%
- 3Y*
- 33.86%
- 5Y*
- 15.90%
- 10Y*
- 17.54%
IBM vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IBM International Business Machines Corporation | -8.10% | 38.23% | 39.27% | 21.85% | 10.64% | 16.65% | -1.16% | 23.58% | -22.56% | -3.99% |
MTUM iShares MSCI USA Momentum Factor ETF | 33.55% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
Correlation
The correlation between IBM and MTUM is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.43 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.44 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.46 |
Over the past year, the correlation between IBM and MTUM has dropped to 0.24 - well below their long-term average of 0.46, suggesting their price drivers have been diverging.
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Return for Risk
IBM vs. MTUM — Risk / Return Rank
IBM
MTUM
IBM vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for International Business Machines Corporation (IBM) 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.
| IBM | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.22 | ||
| Sortino ratioReturn per unit of downside risk | -2.64 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.40 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | -0.02 | 4.02 | -4.04 |
| Martin ratioReturn relative to average drawdown | -0.04 | 15.48 | -15.52 |
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Drawdowns
IBM vs. MTUM - Drawdown Comparison
The maximum IBM drawdown since its inception was -69.40%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for IBM and MTUM.
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Drawdown Indicators
| IBM | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.40% | -34.08% | -35.32% |
Max Drawdown (1Y)Largest decline over 1 year | -30.96% | -11.54% | -19.42% |
Max Drawdown (3Y)Largest decline over 3 years | -30.96% | -20.99% | -9.97% |
Max Drawdown (5Y)Largest decline over 5 years | -30.96% | -32.28% | +1.32% |
Max Drawdown (10Y)Largest decline over 10 years | -40.59% | -34.08% | -6.51% |
Current DrawdownCurrent decline from peak | -18.38% | 0.00% | -18.38% |
Average DrawdownAverage peak-to-trough decline | -20.12% | -6.20% | -13.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 14.43% | 2.99% | +11.44% |
Volatility
IBM vs. MTUM - Volatility Comparison
International Business Machines Corporation (IBM) has a higher volatility of 21.56% compared to iShares MSCI USA Momentum Factor ETF (MTUM) at 11.20%. This indicates that IBM's price experiences larger fluctuations and is considered to be riskier than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IBM | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 21.56% | 11.20% | +10.36% |
Volatility (6M)Calculated over the trailing 6-month period | 34.63% | 18.83% | +15.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 39.52% | 21.08% | +18.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 27.18% | 20.99% | +6.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 26.60% | 21.23% | +5.37% |
Dividends
IBM vs. MTUM - Dividend Comparison
IBM's dividend yield for the trailing twelve months is around 2.50%, more than MTUM's 0.70% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IBM International Business Machines Corporation | 2.50% | 2.27% | 3.03% | 4.05% | 4.68% | 4.74% | 5.17% | 4.80% | 5.46% | 3.85% | 3.31% | 3.63% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.70% | 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
IBM and MTUM have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IBM has higher volatility (21.56%) compared to MTUM (11.20%). In terms of maximum drawdown, IBM dropped -69.40% vs MTUM's -34.08%.
MTUM currently has the higher Sharpe Ratio (2.21 vs -0.01), 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.
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