MMTM vs. VLU
Compare and contrast key facts about SPDR S&P 1500 Momentum Tilt ETF (MMTM) and SPDR S&P 1500 Value Tilt ETF (VLU).
MMTM and VLU are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MMTM is a passively managed fund by State Street that tracks the performance of the S&P 1500 Positive Momentum Tilt Index. It was launched on Oct 24, 2012. VLU is a passively managed fund by State Street that tracks the performance of the S&P 1500 Low Valuation Tilt Index. It was launched on Oct 24, 2012. Both MMTM and VLU 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: MMTM or VLU.
Key characteristics
| MMTM | VLU | |
|---|---|---|
| YTD Return | 32.75% | 21.42% |
| 1Y Return | 45.67% | 36.22% |
| 3Y Return (Ann) | 11.16% | 9.64% |
| 5Y Return (Ann) | 16.57% | 14.19% |
| 10Y Return (Ann) | 15.65% | 14.80% |
| Sharpe Ratio | 2.83 | 3.09 |
| Sortino Ratio | 3.76 | 4.32 |
| Omega Ratio | 1.52 | 1.58 |
| Calmar Ratio | 4.07 | 5.26 |
| Martin Ratio | 17.81 | 20.03 |
| Ulcer Index | 2.50% | 1.75% |
| Daily Std Dev | 15.74% | 11.35% |
| Max Drawdown | -33.85% | -37.38% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between MMTM and VLU is 0.63, 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
MMTM vs. VLU - Performance Comparison
In the year-to-date period, MMTM achieves a 32.75% return, which is significantly higher than VLU's 21.42% return. Over the past 10 years, MMTM has outperformed VLU with an annualized return of 15.65%, while VLU has yielded a comparatively lower 14.80% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
MMTM vs. VLU - Expense Ratio Comparison
Both MMTM and VLU have an expense ratio of 0.12%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
MMTM vs. VLU - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Momentum Tilt ETF (MMTM) and SPDR S&P 1500 Value Tilt ETF (VLU). 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
MMTM vs. VLU - Dividend Comparison
MMTM's dividend yield for the trailing twelve months is around 0.75%, less than VLU's 1.85% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MMTM SPDR S&P 1500 Momentum Tilt ETF | 0.75% | 1.16% | 1.67% | 0.95% | 1.14% | 1.55% | 1.63% | 1.52% | 1.98% | 1.68% | 1.54% | 1.74% |
VLU SPDR S&P 1500 Value Tilt ETF | 1.85% | 2.02% | 2.16% | 1.86% | 1.98% | 2.19% | 2.57% | 1.95% | 2.14% | 6.37% | 5.42% | 3.41% |
Drawdowns
MMTM vs. VLU - Drawdown Comparison
The maximum MMTM drawdown since its inception was -33.85%, smaller than the maximum VLU drawdown of -37.38%. Use the drawdown chart below to compare losses from any high point for MMTM and VLU. For additional features, visit the drawdowns tool.
Volatility
MMTM vs. VLU - Volatility Comparison
SPDR S&P 1500 Momentum Tilt ETF (MMTM) has a higher volatility of 4.75% compared to SPDR S&P 1500 Value Tilt ETF (VLU) at 4.29%. This indicates that MMTM's price experiences larger fluctuations and is considered to be riskier than VLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.