IEFM.L vs. MTUM
Compare and contrast key facts about iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
IEFM.L and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IEFM.L is a passively managed fund by iShares that tracks the performance of the MSCI Europe Growth NR EUR. It was launched on Jan 16, 2015. 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 IEFM.L 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: IEFM.L or MTUM.
Key characteristics
| IEFM.L | MTUM | |
|---|---|---|
| YTD Return | 14.30% | 28.84% |
| 1Y Return | 22.41% | 40.94% |
| 3Y Return (Ann) | 3.71% | 2.83% |
| 5Y Return (Ann) | 9.42% | 12.33% |
| Sharpe Ratio | 0.71 | 2.32 |
| Sortino Ratio | 1.25 | 3.11 |
| Omega Ratio | 1.28 | 1.41 |
| Calmar Ratio | 1.58 | 1.83 |
| Martin Ratio | 2.56 | 13.42 |
| Ulcer Index | 8.71% | 3.17% |
| Daily Std Dev | 31.27% | 18.33% |
| Max Drawdown | -23.88% | -34.08% |
| Current Drawdown | -7.33% | -3.83% |
Correlation
The correlation between IEFM.L and MTUM is 0.43, 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
IEFM.L vs. MTUM - Performance Comparison
In the year-to-date period, IEFM.L achieves a 14.30% 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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IEFM.L vs. MTUM - Expense Ratio Comparison
IEFM.L 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%.
Risk-Adjusted Performance
IEFM.L vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) 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
IEFM.L vs. MTUM - Dividend Comparison
IEFM.L 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IEFM.L iShares Edge MSCI Europe Momentum Factor UCITS ETF | 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
IEFM.L vs. MTUM - Drawdown Comparison
The maximum IEFM.L drawdown since its inception was -23.88%, smaller than the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for IEFM.L and MTUM. For additional features, visit the drawdowns tool.
Volatility
IEFM.L vs. MTUM - Volatility Comparison
iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) has a higher volatility of 3.34% compared to iShares Edge MSCI USA Momentum Factor ETF (MTUM) at 3.11%. This indicates that IEFM.L'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.