JMOM vs. MTUM
Compare and contrast key facts about JPMorgan U.S. Momentum Factor ETF (JMOM) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
JMOM and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JMOM is a passively managed fund by JPMorgan Chase that tracks the performance of the JP Morgan US Momentum Factor Index. It was launched on Nov 8, 2017. 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 JMOM 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: JMOM or MTUM.
Key characteristics
| JMOM | MTUM | |
|---|---|---|
| YTD Return | 13.69% | 17.78% |
| 1Y Return | 34.47% | 33.46% |
| 3Y Return (Ann) | 9.94% | 5.24% |
| 5Y Return (Ann) | 14.46% | 11.59% |
| Sharpe Ratio | 2.70 | 2.12 |
| Daily Std Dev | 12.54% | 15.54% |
| Max Drawdown | -34.31% | -34.08% |
| Current Drawdown | -1.59% | -2.34% |
Correlation
The correlation between JMOM and MTUM is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
JMOM vs. MTUM - Performance Comparison
In the year-to-date period, JMOM achieves a 13.69% return, which is significantly lower than MTUM's 17.78% 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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JMOM vs. MTUM - Expense Ratio Comparison
JMOM has a 0.12% 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
JMOM vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Momentum Factor ETF (JMOM) 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
JMOM vs. MTUM - Dividend Comparison
JMOM's dividend yield for the trailing twelve months is around 0.94%, more than MTUM's 0.80% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JMOM JPMorgan U.S. Momentum Factor ETF | 0.94% | 1.21% | 1.39% | 0.64% | 0.85% | 1.11% | 1.38% | 0.29% | 0.00% | 0.00% | 0.00% | 0.00% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.80% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
JMOM vs. MTUM - Drawdown Comparison
The maximum JMOM drawdown since its inception was -34.31%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for JMOM and MTUM. For additional features, visit the drawdowns tool.
Volatility
JMOM vs. MTUM - Volatility Comparison
The current volatility for JPMorgan U.S. Momentum Factor ETF (JMOM) is 4.22%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 5.97%. This indicates that JMOM 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.