MTUM vs. FXF
MTUM (iShares MSCI USA Momentum Factor ETF) and FXF (Invesco CurrencyShares® Swiss Franc Trust) are both exchange-traded funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while FXF is a Currency fund tracking the Swiss Franc. Both are passively managed. Over the past 10 years, MTUM returned 17.54%/yr vs 1.05%/yr for FXF. At a 0.00 correlation, their price movements are largely independent. MTUM charges 0.15%/yr vs 0.40%/yr for FXF.
Performance
MTUM vs. FXF - Performance Comparison
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Returns By Period
In the year-to-date period, MTUM achieves a 33.55% return, which is significantly higher than FXF's -0.56% return. Over the past 10 years, MTUM has outperformed FXF with an annualized return of 17.54%, while FXF has yielded a comparatively lower 1.05% annualized return.
MTUM
- 1D
- 2.96%
- 1M
- 11.98%
- YTD
- 33.55%
- 6M
- 34.98%
- 1Y
- 46.22%
- 3Y*
- 33.86%
- 5Y*
- 15.90%
- 10Y*
- 17.54%
FXF
- 1D
- 0.23%
- 1M
- -1.07%
- YTD
- -0.56%
- 6M
- -0.05%
- 1Y
- 1.46%
- 3Y*
- 3.71%
- 5Y*
- 2.14%
- 10Y*
- 1.05%
MTUM vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 33.55% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -0.56% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | 3.31% |
Correlation
The correlation between MTUM and FXF is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.00 |
The correlation between MTUM and FXF shifts across timeframes, from 0.00 (all time) to 0.20 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
MTUM vs. FXF — Risk / Return Rank
MTUM
FXF
MTUM vs. FXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) and Invesco CurrencyShares® Swiss Franc Trust (FXF). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MTUM | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.01 | ||
| Sortino ratioReturn per unit of downside risk | +2.55 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.04 | +0.36 |
| Calmar ratioReturn relative to maximum drawdown | 4.02 | 0.30 | +3.73 |
| Martin ratioReturn relative to average drawdown | 15.48 | 0.64 | +14.84 |
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Drawdowns
MTUM vs. FXF - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, roughly equal to the maximum FXF drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for MTUM and FXF.
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Drawdown Indicators
| MTUM | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.08% | -35.58% | +1.50% |
Max Drawdown (1Y)Largest decline over 1 year | -11.54% | -4.97% | -6.57% |
Max Drawdown (3Y)Largest decline over 3 years | -20.99% | -8.52% | -12.47% |
Max Drawdown (5Y)Largest decline over 5 years | -32.28% | -11.99% | -20.29% |
Max Drawdown (10Y)Largest decline over 10 years | -34.08% | -15.04% | -19.04% |
Current DrawdownCurrent decline from peak | 0.00% | -18.83% | +18.83% |
Average DrawdownAverage peak-to-trough decline | -6.20% | -20.83% | +14.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 2.29% | +0.70% |
Volatility
MTUM vs. FXF - Volatility Comparison
iShares MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 11.20% compared to Invesco CurrencyShares® Swiss Franc Trust (FXF) at 1.84%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MTUM | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.20% | 1.84% | +9.36% |
Volatility (6M)Calculated over the trailing 6-month period | 18.83% | 5.53% | +13.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.08% | 7.42% | +13.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.99% | 8.33% | +12.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.23% | 7.57% | +13.66% |
MTUM vs. FXF - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is lower than FXF's 0.40% expense ratio.
Dividends
MTUM vs. FXF - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.70%, while FXF has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.70% | 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
MTUM and FXF have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (11.20%) compared to FXF (1.84%). In terms of maximum drawdown, MTUM dropped -34.08% vs FXF's -35.58%.
On 10-year performance, MTUM leads with 17.54% vs 1.05% for FXF. On fees, MTUM is cheaper at 0.15% per year. On volatility, FXF has been the lower-risk option at 1.84%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MTUM has performed better with a 17.54% return vs 1.05%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MTUM is cheaper with a 0.15% expense ratio, compared with 0.40% for FXF.
MTUM has the higher dividend yield at 0.70%, compared with 0.00% for FXF.
MTUM is categorized as Momentum, while FXF is Currency. MTUM tracks MSCI USA Momentum SR Variant Index, while FXF tracks Swiss Franc. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.15% for MTUM and 0.40% for FXF.
MTUM currently has the higher Sharpe Ratio (2.21 vs 0.20), 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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