MTUL vs. JMOM
MTUL (ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN) and JMOM (JPMorgan U.S. Momentum Factor ETF) are both Momentum funds - MTUL tracks the MSCI USA Momentum Index while JMOM tracks the JP Morgan US Momentum Factor Index. Both are passively managed. Over the past 5 years, MTUL returned 20.13%/yr vs 16.24%/yr for JMOM. Their correlation of 0.88 suggests significant overlap in exposure. MTUL charges 0.95%/yr vs 0.12%/yr for JMOM.
Performance
MTUL vs. JMOM - Performance Comparison
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Returns By Period
In the year-to-date period, MTUL achieves a 61.40% return, which is significantly higher than JMOM's 22.57% return.
MTUL
- 1D
- 0.74%
- 1M
- 23.35%
- YTD
- 61.40%
- 6M
- 63.02%
- 1Y
- 78.14%
- 3Y*
- 60.02%
- 5Y*
- 20.13%
- 10Y*
- —
JMOM
- 1D
- -0.18%
- 1M
- 7.73%
- YTD
- 22.57%
- 6M
- 21.71%
- 1Y
- 36.34%
- 3Y*
- 28.46%
- 5Y*
- 16.24%
- 10Y*
- —
MTUL vs. JMOM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
MTUL ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN | 61.40% | 27.42% | 58.70% | 10.66% | -37.97% | 7.00% |
JMOM JPMorgan U.S. Momentum Factor ETF | 22.57% | 18.02% | 28.47% | 22.89% | -20.83% | 19.35% |
Correlation
The correlation between MTUL and JMOM is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Feb 8, 2021 | 0.88 |
The correlation between MTUL and JMOM has been stable across timeframes, ranging from 0.87 to 0.90 - a consistent structural relationship.
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Return for Risk
MTUL vs. JMOM — Risk / Return Rank
MTUL
JMOM
MTUL vs. JMOM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN (MTUL) and JPMorgan U.S. Momentum Factor ETF (JMOM). 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.
| MTUL | JMOM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.77 | ||
| Sortino ratioReturn per unit of downside risk | -1.13 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.45 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 3.29 | 4.64 | -1.35 |
| Martin ratioReturn relative to average drawdown | 13.17 | 21.99 | -8.81 |
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
| MTUL | JMOM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.79 | 2.55 | -0.77 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.47 | 0.87 | -0.40 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.82 | -0.41 |
Drawdowns
MTUL vs. JMOM - Drawdown Comparison
The maximum MTUL drawdown since its inception was -56.83%, which is greater than JMOM's maximum drawdown of -34.31%. Use the drawdown chart below to compare losses from any high point for MTUL and JMOM.
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Drawdown Indicators
| MTUL | JMOM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.83% | -34.31% | -22.52% |
Max Drawdown (1Y)Largest decline over 1 year | -23.86% | -7.87% | -15.99% |
Max Drawdown (3Y)Largest decline over 3 years | -39.15% | -19.51% | -19.64% |
Max Drawdown (5Y)Largest decline over 5 years | -56.83% | -28.26% | -28.57% |
Current DrawdownCurrent decline from peak | -0.01% | -0.35% | +0.34% |
Average DrawdownAverage peak-to-trough decline | -22.66% | -6.31% | -16.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.95% | 1.66% | +4.29% |
Volatility
MTUL vs. JMOM - Volatility Comparison
ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN (MTUL) has a higher volatility of 20.00% compared to JPMorgan U.S. Momentum Factor ETF (JMOM) at 4.56%. This indicates that MTUL's price experiences larger fluctuations and is considered to be riskier than JMOM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MTUL | JMOM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 20.00% | 4.56% | +15.44% |
Volatility (6M)Calculated over the trailing 6-month period | 37.62% | 11.56% | +26.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 43.98% | 14.31% | +29.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 42.80% | 18.65% | +24.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 43.63% | 20.13% | +23.50% |
MTUL vs. JMOM - Expense Ratio Comparison
MTUL has a 0.95% expense ratio, which is higher than JMOM's 0.12% expense ratio.
Dividends
MTUL vs. JMOM - Dividend Comparison
MTUL has not paid dividends to shareholders, while JMOM's dividend yield for the trailing twelve months is around 0.72%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
JMOM JPMorgan U.S. Momentum Factor ETF | 0.72% | 0.86% | 0.75% | 1.21% | 1.39% | 0.64% | 0.85% | 1.11% | 1.38% | 0.29% |
MTUL ETRACS 2x Leveraged MSCI US Momentum Factor TR ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MTUL and JMOM have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUL has higher volatility (20.00%) compared to JMOM (4.56%). In terms of maximum drawdown, MTUL dropped -56.83% vs JMOM's -34.31%.
On 5-year performance, MTUL leads with 20.13% vs 16.24% for JMOM. On fees, JMOM is cheaper at 0.12% per year. On volatility, JMOM has been the lower-risk option at 4.56%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, MTUL has performed better with a 20.13% return vs 16.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JMOM is cheaper with a 0.12% expense ratio, compared with 0.95% for MTUL.
JMOM has the higher dividend yield at 0.72%, compared with 0.00% for MTUL.
MTUL tracks MSCI USA Momentum Index, while JMOM tracks JP Morgan US Momentum Factor Index. They also come from different issuers: UBS and JPMorgan. Their fees differ too: 0.95% for MTUL and 0.12% for JMOM.
JMOM currently has the higher Sharpe Ratio (2.55 vs 1.79), 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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