PortfoliosLab logo
MMTM vs. PDP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MMTM and PDP is 0.74, 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.


-0.50.00.51.00.7

Maximize Your Portfolio’s Potential

Does your portfolio have the optimal asset allocation aligned with your goals? Find it out with our portfolio optimizer

Try portfolio optimization now

Performance

MMTM vs. PDP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 1500 Momentum Tilt ETF (MMTM) and Invesco DWA Momentum ETF (PDP). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%AugustSeptemberOctoberNovemberDecember2025
6.54%
9.80%
MMTM
PDP

Key characteristics

Sharpe Ratio

MMTM:

1.97

PDP:

1.71

Sortino Ratio

MMTM:

2.69

PDP:

2.33

Omega Ratio

MMTM:

1.36

PDP:

1.29

Calmar Ratio

MMTM:

2.92

PDP:

1.86

Martin Ratio

MMTM:

12.09

PDP:

9.15

Ulcer Index

MMTM:

2.65%

PDP:

3.28%

Daily Std Dev

MMTM:

16.23%

PDP:

17.57%

Max Drawdown

MMTM:

-33.85%

PDP:

-59.34%

Current Drawdown

MMTM:

-3.38%

PDP:

-7.08%

Returns By Period

In the year-to-date period, MMTM achieves a 1.14% return, which is significantly lower than PDP's 1.38% return. Over the past 10 years, MMTM has outperformed PDP with an annualized return of 15.28%, while PDP has yielded a comparatively lower 10.71% annualized return.


MMTM

YTD

1.14%

1M

-1.09%

6M

6.54%

1Y

30.78%

5Y*

15.06%

10Y*

15.28%

PDP

YTD

1.38%

1M

-3.43%

6M

9.80%

1Y

29.54%

5Y*

11.04%

10Y*

10.71%

*Annualized

Compare stocks, funds, or ETFs

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


SPDR S&P 1500 Momentum Tilt ETF

Invesco DWA Momentum ETF

MMTM vs. PDP - Expense Ratio Comparison

MMTM has a 0.12% expense ratio, which is lower than PDP's 0.62% expense ratio.


Expense ratio chart for PDP: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
Expense ratio chart for MMTM: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

MMTM vs. PDP — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MMTM
The Risk-Adjusted Performance Rank of MMTM is 8080
Overall Rank
The Sharpe Ratio Rank of MMTM is 8080
Sharpe Ratio Rank
The Sortino Ratio Rank of MMTM is 7979
Sortino Ratio Rank
The Omega Ratio Rank of MMTM is 7979
Omega Ratio Rank
The Calmar Ratio Rank of MMTM is 8080
Calmar Ratio Rank
The Martin Ratio Rank of MMTM is 8282
Martin Ratio Rank

PDP
The Risk-Adjusted Performance Rank of PDP is 7070
Overall Rank
The Sharpe Ratio Rank of PDP is 7373
Sharpe Ratio Rank
The Sortino Ratio Rank of PDP is 7171
Sortino Ratio Rank
The Omega Ratio Rank of PDP is 7070
Omega Ratio Rank
The Calmar Ratio Rank of PDP is 6565
Calmar Ratio Rank
The Martin Ratio Rank of PDP is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

MMTM vs. PDP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Momentum Tilt ETF (MMTM) and Invesco DWA Momentum ETF (PDP). 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.


The chart of Sharpe ratio for MMTM, currently valued at 1.97, compared to the broader market0.002.004.001.971.71
The chart of Sortino ratio for MMTM, currently valued at 2.69, compared to the broader market-2.000.002.004.006.008.0010.002.692.33
The chart of Omega ratio for MMTM, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.29
The chart of Calmar ratio for MMTM, currently valued at 2.92, compared to the broader market0.005.0010.0015.002.921.86
The chart of Martin ratio for MMTM, currently valued at 12.09, compared to the broader market0.0020.0040.0060.0080.00100.0012.099.15
MMTM
PDP

The current MMTM Sharpe Ratio is 1.97, which is comparable to the PDP Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of MMTM and PDP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00AugustSeptemberOctoberNovemberDecember2025
1.97
1.71
MMTM
PDP

Dividends

MMTM vs. PDP - Dividend Comparison

MMTM's dividend yield for the trailing twelve months is around 0.82%, more than PDP's 0.15% yield.


TTM20242023202220212020201920182017201620152014
MMTM
SPDR S&P 1500 Momentum Tilt ETF
0.82%0.83%1.16%1.67%0.95%1.14%1.55%1.63%1.52%1.98%1.68%1.54%
PDP
Invesco DWA Momentum ETF
0.15%0.15%0.42%0.45%0.00%0.11%0.25%0.18%0.28%0.81%0.39%0.15%

Drawdowns

MMTM vs. PDP - Drawdown Comparison

The maximum MMTM drawdown since its inception was -33.85%, smaller than the maximum PDP drawdown of -59.34%. Use the drawdown chart below to compare losses from any high point for MMTM and PDP. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-3.38%
-7.08%
MMTM
PDP

Volatility

MMTM vs. PDP - Volatility Comparison

The current volatility for SPDR S&P 1500 Momentum Tilt ETF (MMTM) is 5.22%, while Invesco DWA Momentum ETF (PDP) has a volatility of 6.43%. This indicates that MMTM experiences smaller price fluctuations and is considered to be less risky than PDP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%AugustSeptemberOctoberNovemberDecember2025
5.22%
6.43%
MMTM
PDP

User Portfolios with MMTM or PDP


ARGT
EPS
FTC
FXO
IAI
IAK
IGM
ILCG
IOO
ITOT
IUSG
IVV
IVW
IWB
IWF
IWL
IWV
IWY
IYY
KCE
MGC
MGK
MMTM
OEF
ONEQ
PWB
SCHB
SCHG
SCHX
SPHQ
SPLG
SPTM
SPUU
SPXL
SPY
SPYG
SSO
UPRO
USD
VONE
VONG
VOO
VOOG
VTHR
VTI
VUG
VV
XLG
XMMO
PDP
VNQ
VTV
IEI
DLS
IJS
GSG
EFV
1 / 3

Recent discussions