MFTFX vs. MTUM
MFTFX (Arrow Managed Futures Stragegy Fund) and MTUM (iShares MSCI USA Momentum Factor ETF) are both funds - MFTFX is a Systematic Trend fund managed by Arrow Funds, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Over the past 10 years, MFTFX returned 4.94%/yr vs 16.34%/yr for MTUM. At a 0.17 correlation, their price movements are largely independent. MFTFX charges 1.54%/yr vs 0.15%/yr for MTUM.
Performance
MFTFX vs. MTUM - Performance Comparison
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Returns By Period
In the year-to-date period, MFTFX achieves a 10.62% return, which is significantly lower than MTUM's 25.95% return. Over the past 10 years, MFTFX has underperformed MTUM with an annualized return of 4.94%, while MTUM has yielded a comparatively higher 16.34% annualized return.
MFTFX
- 1D
- 0.30%
- 1M
- -0.73%
- 6M
- 4.96%
- YTD
- 10.62%
- 1Y
- 35.94%
- 3Y*
- 2.09%
- 5Y*
- 11.08%
- 10Y*
- 4.94%
MTUM
- 1D
- -2.22%
- 1M
- -2.90%
- 6M
- 21.75%
- YTD
- 25.95%
- 1Y
- 34.12%
- 3Y*
- 30.38%
- 5Y*
- 14.17%
- 10Y*
- 16.34%
MFTFX vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MFTFX Arrow Managed Futures Stragegy Fund | 10.62% | 9.29% | 6.87% | -13.57% | 57.88% | 2.13% | -4.13% | 15.17% | -19.70% | 19.09% |
MTUM iShares MSCI USA Momentum Factor ETF | 25.95% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
Correlation
The correlation between MFTFX and MTUM is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.28 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.22 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.17 |
Over the past year, MFTFX and MTUM have become more correlated (0.39) than their long-term average of 0.17, meaning their price movements have been converging.
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Return for Risk
MFTFX vs. MTUM — Risk / Return Rank
MFTFX
MTUM
MFTFX vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Arrow Managed Futures Stragegy Fund (MFTFX) 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.
| MFTFX | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.45 | ||
| Sortino ratioReturn per unit of downside risk | +0.55 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.27 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 3.73 | 2.97 | +0.76 |
| Martin ratioReturn relative to average drawdown | 9.60 | 10.23 | -0.64 |
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Drawdowns
MFTFX vs. MTUM - Drawdown Comparison
The maximum MFTFX drawdown since its inception was -35.70%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for MFTFX and MTUM.
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Drawdown Indicators
| MFTFX | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.70% | -34.08% | -1.62% |
Max Drawdown (1Y)Largest decline over 1 year | -9.83% | -11.54% | +1.71% |
Max Drawdown (3Y)Largest decline over 3 years | -32.57% | -20.99% | -11.58% |
Max Drawdown (5Y)Largest decline over 5 years | -32.57% | -32.28% | -0.29% |
Max Drawdown (10Y)Largest decline over 10 years | -35.70% | -34.08% | -1.62% |
Current DrawdownCurrent decline from peak | -5.84% | -8.86% | +3.02% |
Average DrawdownAverage peak-to-trough decline | -16.91% | -6.19% | -10.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.81% | 3.34% | +0.47% |
Volatility
MFTFX vs. MTUM - Volatility Comparison
The current volatility for Arrow Managed Futures Stragegy Fund (MFTFX) is 5.34%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 13.18%. This indicates that MFTFX 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
| MFTFX | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.34% | 13.18% | -7.84% |
Volatility (6M)Calculated over the trailing 6-month period | 12.36% | 21.54% | -9.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.33% | 23.81% | -4.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.97% | 21.54% | +0.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.06% | 21.52% | +0.54% |
MFTFX vs. MTUM - Expense Ratio Comparison
MFTFX has a 1.54% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Dividends
MFTFX vs. MTUM - Dividend Comparison
MFTFX has not paid dividends to shareholders, while MTUM's dividend yield for the trailing twelve months is around 0.59%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MFTFX Arrow Managed Futures Stragegy Fund | 0.00% | 0.00% | 0.00% | 11.75% | 41.04% | 2.30% | 0.00% | 20.00% | 7.84% | 2.12% | 9.36% | 1.21% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.59% | 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
MFTFX and MTUM have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (13.18%) compared to MFTFX (5.34%). In terms of maximum drawdown, MFTFX dropped -35.70% vs MTUM's -34.08%.
MFTFX currently has the higher Sharpe Ratio (1.90 vs 1.44), 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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