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IEFA vs. MTUM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IEFA vs. MTUM

Last updated Jul 26, 2026
Documentation

IEFA (iShares Core MSCI EAFE ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - IEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE IMI Index (Net), while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 10 years, IEFA returned 9.38%/yr vs 16.00%/yr for MTUM. Their 0.67 correlation means they have sometimes moved together and sometimes differently. IEFA charges 0.07%/yr vs 0.15%/yr for MTUM.

Performance

IEFA vs. MTUM - Performance Comparison

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

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Returns By Period

In the year-to-date period, IEFA achieves a 9.45% return, which is significantly lower than MTUM's 22.65% return. Over the past 10 years, IEFA has underperformed MTUM with an annualized return of 9.38%, while MTUM has yielded a comparatively higher 16.00% annualized return.

IEFA

1D
0.61%
1M
0.32%
6M
4.92%
YTD
9.45%
1Y
17.75%
3Y*
15.52%
5Y*
8.55%
10Y*
9.38%
ALL TIME*
8.38%

MTUM

1D
-2.42%
1M
-9.70%
6M
20.16%
YTD
22.65%
1Y
27.88%
3Y*
28.98%
5Y*
13.15%
10Y*
16.00%
ALL TIME*
15.84%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

IEFA

iShares Core MSCI EAFE ETF
$895.79M$960.37M$950.39M

MTUM

iShares MSCI USA Momentum Factor ETF
$620.00M$622.73M$495.72M

IEFA vs. MTUM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IEFA
iShares Core MSCI EAFE ETF		9.45%32.08%3.26%17.95%-15.24%11.63%8.18%22.64%-14.14%26.57%
MTUM
iShares MSCI USA Momentum Factor ETF		22.65%22.15%32.89%9.15%-18.27%13.36%29.86%27.25%-1.67%37.50%

Correlation

The correlation between IEFA and MTUM is 0.63, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.63

Correlation (3Y)
Balances recent behavior with more history.

0.61

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.66

Correlation (10Y)
Provides a long-term view across more market conditions.

0.66

Correlation (All Time)
Calculated using the full available price history since Apr 18, 2013

0.67

The correlation between IEFA and MTUM has been stable across timeframes, ranging from 0.61 to 0.67 - a consistent structural relationship.

IEFA vs. MTUM - Sectors Allocation Comparison

Sectors
IEFA
MTUM

Financial Services

25.5%
5.2%

Industrials

19.3%
15.3%

Technology

12.1%
48.0%

Healthcare

10.0%
4.0%

Consumer Cyclical

7.3%
3.0%

Consumer Defensive

6.5%
3.9%

Basic Materials

6.2%
2.1%

Energy

3.7%
11.3%

Utilities

3.5%
0.6%

Communication Services

3.4%
4.9%

Real Estate

2.2%
1.5%

Financial Services

IEFA
25.5%
MTUM
5.2%

Industrials

IEFA
19.3%
MTUM
15.3%

Technology

IEFA
12.1%
MTUM
48.0%

Healthcare

IEFA
10.0%
MTUM
4.0%

Consumer Cyclical

IEFA
7.3%
MTUM
3.0%

Consumer Defensive

IEFA
6.5%
MTUM
3.9%

Basic Materials

IEFA
6.2%
MTUM
2.1%

Energy

IEFA
3.7%
MTUM
11.3%

Utilities

IEFA
3.5%
MTUM
0.6%

Communication Services

IEFA
3.4%
MTUM
4.9%

Real Estate

IEFA
2.2%
MTUM
1.5%

Compare stocks, funds, or ETFs

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

iShares Core MSCI EAFE ETF

iShares MSCI USA Momentum Factor ETF

Often compared with IEFA:
IEFA vs. VEAIEFA vs. VXUSIEFA vs. EFAIEFA vs. FSPSXIEFA vs. IEMGIEFA vs. XEF.TOIEFA vs. IXUS
Often compared with MTUM:
MTUM vs. SPMOMTUM vs. SPYMTUM vs. QQQMTUM vs. QUALMTUM vs. VFMOMTUM vs. VOOMTUM vs. QMOM

Return for Risk

IEFA vs. MTUM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IEFA
IEFA Risk / Return Rank: 4747
Overall Rank
IEFA Sharpe Ratio Rank: 4747
Sharpe Ratio Rank
IEFA Sortino Ratio Rank: 4747
Sortino Ratio Rank
IEFA Omega Ratio Rank: 4646
Omega Ratio Rank
IEFA Calmar Ratio Rank: 4343
Calmar Ratio Rank
IEFA Martin Ratio Rank: 5151
Martin Ratio Rank
MTUM
MTUM Risk / Return Rank: 5555
Overall Rank
MTUM Sharpe Ratio Rank: 4949
Sharpe Ratio Rank
MTUM Sortino Ratio Rank: 4646
Sortino Ratio Rank
MTUM Omega Ratio Rank: 5050
Omega Ratio Rank
MTUM Calmar Ratio Rank: 6666
Calmar Ratio Rank
MTUM Martin Ratio Rank: 6262
Martin Ratio Rank
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.

IEFA vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI EAFE ETF (IEFA) 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.

IEFAMTUMDifference
Sharpe ratioReturn per unit of total volatility
1.14
1.18

-0.04

Sortino ratioReturn per unit of downside risk
1.67
1.66

+0.01

Omega ratioGain probability vs. loss probability

1.21

1.22

-0.02

Calmar ratioReturn relative to maximum drawdown

1.54

2.31

-0.78

Martin ratioReturn relative to average drawdown

5.85

7.45

-1.60

IEFA vs. MTUM - Sharpe Ratio Comparison

The current IEFA Sharpe Ratio is 1.14, which is comparable to the MTUM Sharpe Ratio of 1.18. The chart below compares the historical Sharpe Ratios of IEFA 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.

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Drawdowns

IEFA vs. MTUM - Drawdown Comparison

The maximum IEFA drawdown since its inception was -34.78%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for IEFA and MTUM.

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Drawdown Indicators

IEFAMTUMDifference

Max Drawdown

Largest peak-to-trough decline

-34.78%

-34.08%

-0.70%

Max Drawdown (1Y)

Largest decline over 1 year

-11.50%

-12.49%

+0.99%

Max Drawdown (3Y)

Largest decline over 3 years

-13.76%

-20.99%

+7.23%

Max Drawdown (5Y)

Largest decline over 5 years

-30.41%

-32.28%

+1.87%

Max Drawdown (10Y)

Largest decline over 10 years

-34.78%

-34.08%

-0.70%

Current Drawdown

Current decline from peak

-2.00%

-11.25%

+9.25%

Average Drawdown

Average peak-to-trough decline

-6.63%

-6.20%

-0.43%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.02%

3.87%

-0.85%

Volatility

IEFA vs. MTUM - Volatility Comparison

The current volatility for iShares Core MSCI EAFE ETF (IEFA) is 4.00%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 11.65%. This indicates that IEFA 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.

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Volatility by Period

IEFAMTUMDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.00%

11.65%

-7.65%

Volatility (6M)

Calculated over the trailing 6-month period

13.48%

22.19%

-8.71%

Volatility (1Y)

Calculated over the trailing 1-year period

15.55%

24.47%

-8.92%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.59%

21.65%

-5.06%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.02%

21.60%

-4.58%

IEFA vs. MTUM - Expense Ratio Comparison

IEFA has a 0.07% 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%.

Dividends

IEFA vs. MTUM - Dividend Comparison

IEFA's dividend yield for the trailing twelve months is around 3.41%, more than MTUM's 0.60% yield.

PositionTTM20252024202320222021202020192018201720162015
IEFA
iShares Core MSCI EAFE ETF		3.41%3.55%3.47%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%
MTUM
iShares MSCI USA Momentum Factor ETF		0.60%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

IEFA and MTUM have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

MTUM has higher volatility (11.65%) compared to IEFA (4.00%). In terms of maximum drawdown, IEFA dropped -34.78% vs MTUM's -34.08%.

On 10-year performance, MTUM leads with 16.00% vs 9.38% for IEFA. On fees, IEFA is cheaper at 0.07% per year. On volatility, IEFA has been the lower-risk option at 4.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, MTUM has performed better with a 16.00% return vs 9.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IEFA is cheaper with a 0.07% expense ratio, compared with 0.15% for MTUM.

IEFA has the higher dividend yield at 3.41%, compared with 0.60% for MTUM.

IEFA is categorized as Foreign Large Cap Equities, while MTUM is Momentum. IEFA tracks MSCI EAFE IMI Index (Net), while MTUM tracks MSCI USA Momentum SR Variant Index. Their fees differ too: 0.07% for IEFA and 0.15% for MTUM.

MTUM currently has the higher Sharpe Ratio (1.18 vs 1.14), 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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