MTUM vs. FUMIX
MTUM (iShares MSCI USA Momentum Factor ETF) and FUMIX (Fidelity SAI U.S. Momentum Index Fund) are both funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while FUMIX is a Large Cap Growth Equities fund managed by Fidelity. Over the past 5 years, MTUM returned 14.96%/yr vs 16.84%/yr for FUMIX. With a 0.97 correlation, they move nearly in lockstep. MTUM charges 0.15%/yr vs 0.11%/yr for FUMIX.
Performance
MTUM vs. FUMIX - Performance Comparison
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Returns By Period
In the year-to-date period, MTUM achieves a 30.30% return, which is significantly higher than FUMIX's 26.43% return.
MTUM
- 1D
- -1.10%
- 1M
- 11.94%
- YTD
- 30.30%
- 6M
- 29.99%
- 1Y
- 40.55%
- 3Y*
- 34.34%
- 5Y*
- 14.96%
- 10Y*
- 17.19%
FUMIX
- 1D
- 0.25%
- 1M
- 10.11%
- YTD
- 26.43%
- 6M
- 25.54%
- 1Y
- 34.21%
- 3Y*
- 32.31%
- 5Y*
- 16.84%
- 10Y*
- —
MTUM vs. FUMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 30.30% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 31.30% |
FUMIX Fidelity SAI U.S. Momentum Index Fund | 26.43% | 17.01% | 33.39% | 14.67% | -15.79% | 22.56% | 29.92% | 24.16% | -1.41% | 22.71% |
Correlation
The correlation between MTUM and FUMIX is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.96 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Feb 10, 2017 | 0.97 |
The correlation between MTUM and FUMIX has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.
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Return for Risk
MTUM vs. FUMIX — Risk / Return Rank
MTUM
FUMIX
MTUM vs. FUMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) and Fidelity SAI U.S. Momentum Index Fund (FUMIX). 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.
| MTUM | FUMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.11 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.36 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 3.53 | 3.09 | +0.44 |
| Martin ratioReturn relative to average drawdown | 14.10 | 14.10 | 0.00 |
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
| MTUM | FUMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.14 | 1.98 | +0.15 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.73 | 0.80 | -0.07 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.82 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.84 | 0.82 | +0.03 |
Drawdowns
MTUM vs. FUMIX - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, roughly equal to the maximum FUMIX drawdown of -33.36%. Use the drawdown chart below to compare losses from any high point for MTUM and FUMIX.
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Drawdown Indicators
| MTUM | FUMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.08% | -33.36% | -0.72% |
Max Drawdown (1Y)Largest decline over 1 year | -11.54% | -10.99% | -0.55% |
Max Drawdown (3Y)Largest decline over 3 years | -20.99% | -19.90% | -1.09% |
Max Drawdown (5Y)Largest decline over 5 years | -32.28% | -27.66% | -4.62% |
Max Drawdown (10Y)Largest decline over 10 years | -34.08% | — | — |
Current DrawdownCurrent decline from peak | -1.10% | 0.00% | -1.10% |
Average DrawdownAverage peak-to-trough decline | -6.21% | -6.32% | +0.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.89% | 2.41% | +0.48% |
Volatility
MTUM vs. FUMIX - Volatility Comparison
iShares MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 7.67% compared to Fidelity SAI U.S. Momentum Index Fund (FUMIX) at 6.46%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier than FUMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MTUM | FUMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.67% | 6.46% | +1.21% |
Volatility (6M)Calculated over the trailing 6-month period | 16.51% | 14.69% | +1.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.08% | 17.12% | +1.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.60% | 21.16% | -0.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.03% | 21.77% | -0.74% |
MTUM vs. FUMIX - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is higher than FUMIX's 0.11% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
MTUM vs. FUMIX - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.60%, less than FUMIX's 2.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FUMIX Fidelity SAI U.S. Momentum Index Fund | 2.19% | 2.77% | 5.89% | 18.09% | 2.10% | 20.67% | 8.68% | 2.09% | 3.84% | 0.88% | 0.00% | 0.00% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.60% | 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
With a correlation of 0.96, MTUM and FUMIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
MTUM has higher volatility (7.67%) compared to FUMIX (6.46%). In terms of maximum drawdown, MTUM dropped -34.08% vs FUMIX's -33.36%.
MTUM currently has the higher Sharpe Ratio (2.14 vs 1.98), 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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