MMTM vs. TDTF
MMTM (SPDR S&P 1500 Momentum Tilt ETF) and TDTF (FlexShares iBoxx 5-Year Target Duration TIPS Index Fund) are both exchange-traded funds - MMTM is a Momentum fund tracking the S&P 1500 Positive Momentum Tilt Index, while TDTF is a Inflation-Protected Bonds fund tracking the iBoxx 5-Year Target Duration TIPS. Both are passively managed. Over the past 10 years, MMTM returned 15.00%/yr vs 2.93%/yr for TDTF. At a 0.04 correlation, their price movements are largely independent. MMTM charges 0.12%/yr vs 0.18%/yr for TDTF.
Performance
MMTM vs. TDTF - Performance Comparison
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Returns By Period
In the year-to-date period, MMTM achieves a 9.16% return, which is significantly higher than TDTF's 1.52% return. Over the past 10 years, MMTM has outperformed TDTF with an annualized return of 15.00%, while TDTF has yielded a comparatively lower 2.93% annualized return.
MMTM
- 1D
- -1.07%
- 1M
- 2.46%
- YTD
- 9.16%
- 6M
- 9.58%
- 1Y
- 24.27%
- 3Y*
- 22.46%
- 5Y*
- 13.50%
- 10Y*
- 15.00%
TDTF
- 1D
- -0.13%
- 1M
- -0.44%
- YTD
- 1.52%
- 6M
- 1.18%
- 1Y
- 5.07%
- 3Y*
- 4.56%
- 5Y*
- 1.72%
- 10Y*
- 2.93%
MMTM vs. TDTF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MMTM SPDR S&P 1500 Momentum Tilt ETF | 9.16% | 13.26% | 29.94% | 22.49% | -16.12% | 26.33% | 19.27% | 29.98% | -4.62% | 24.41% |
TDTF FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 1.52% | 7.83% | 2.40% | 4.10% | -9.73% | 5.54% | 9.98% | 7.99% | -0.82% | 1.93% |
Correlation
The correlation between MMTM and TDTF is 0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.11 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Oct 26, 2012 | 0.04 |
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Return for Risk
MMTM vs. TDTF — Risk / Return Rank
MMTM
TDTF
MMTM vs. TDTF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Momentum Tilt ETF (MMTM) and FlexShares iBoxx 5-Year Target Duration TIPS Index Fund (TDTF). 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.
| MMTM | TDTF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.05 | ||
| Sortino ratioReturn per unit of downside risk | -0.15 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.30 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.46 | 3.22 | -0.75 |
| Martin ratioReturn relative to average drawdown | 11.15 | 10.66 | +0.48 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MMTM | TDTF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.72 | 1.67 | +0.05 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.75 | 0.30 | +0.44 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.81 | 0.58 | +0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.85 | 0.47 | +0.37 |
Drawdowns
MMTM vs. TDTF - Drawdown Comparison
The maximum MMTM drawdown since its inception was -33.85%, which is greater than TDTF's maximum drawdown of -12.02%. Use the drawdown chart below to compare losses from any high point for MMTM and TDTF.
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Drawdown Indicators
| MMTM | TDTF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.85% | -12.02% | -21.83% |
Max Drawdown (1Y)Largest decline over 1 year | -9.89% | -1.58% | -8.31% |
Max Drawdown (3Y)Largest decline over 3 years | -22.08% | -3.79% | -18.29% |
Max Drawdown (5Y)Largest decline over 5 years | -23.72% | -12.02% | -11.70% |
Max Drawdown (10Y)Largest decline over 10 years | -33.85% | -12.02% | -21.83% |
Current DrawdownCurrent decline from peak | -1.48% | -0.57% | -0.91% |
Average DrawdownAverage peak-to-trough decline | -4.20% | -2.91% | -1.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.18% | 0.48% | +1.70% |
Volatility
MMTM vs. TDTF - Volatility Comparison
SPDR S&P 1500 Momentum Tilt ETF (MMTM) has a higher volatility of 2.35% compared to FlexShares iBoxx 5-Year Target Duration TIPS Index Fund (TDTF) at 0.73%. This indicates that MMTM's price experiences larger fluctuations and is considered to be riskier than TDTF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MMTM | TDTF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.35% | 0.73% | +1.62% |
Volatility (6M)Calculated over the trailing 6-month period | 10.73% | 1.97% | +8.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.19% | 3.06% | +11.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.20% | 5.69% | +12.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.65% | 5.07% | +13.58% |
MMTM vs. TDTF - Expense Ratio Comparison
MMTM has a 0.12% expense ratio, which is lower than TDTF's 0.18% 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
MMTM vs. TDTF - Dividend Comparison
MMTM's dividend yield for the trailing twelve months is around 0.78%, less than TDTF's 4.71% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MMTM SPDR S&P 1500 Momentum Tilt ETF | 0.78% | 0.86% | 0.83% | 1.16% | 1.67% | 0.95% | 1.14% | 1.55% | 1.64% | 1.52% | 1.98% | 1.68% |
TDTF FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 4.71% | 4.58% | 3.98% | 3.97% | 7.60% | 4.55% | 1.13% | 1.80% | 2.60% | 2.20% | 1.51% | 0.21% |
Frequently Asked Questions
MMTM and TDTF have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MMTM has higher volatility (2.35%) compared to TDTF (0.73%). In terms of maximum drawdown, MMTM dropped -33.85% vs TDTF's -12.02%.
On 10-year performance, MMTM leads with 15.00% vs 2.93% for TDTF. On fees, MMTM is cheaper at 0.12% per year. On volatility, TDTF has been the lower-risk option at 0.73%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MMTM has performed better with a 15.00% return vs 2.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MMTM is cheaper with a 0.12% expense ratio, compared with 0.18% for TDTF.
TDTF has the higher dividend yield at 4.71%, compared with 0.78% for MMTM.
MMTM is categorized as Momentum, while TDTF is Inflation-Protected Bonds. MMTM tracks S&P 1500 Positive Momentum Tilt Index, while TDTF tracks iBoxx 5-Year Target Duration TIPS. They also come from different issuers: State Street and Northern Trust. Their fees differ too: 0.12% for MMTM and 0.18% for TDTF.
MMTM currently has the higher Sharpe Ratio (1.72 vs 1.67), 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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