MTUM vs. ICF
MTUM (iShares MSCI USA Momentum Factor ETF) and ICF (iShares Cohen & Steers REIT ETF) are both exchange-traded funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while ICF is a REIT fund tracking the Cohen & Steers Realty Majors Index. Both are passively managed. Over the past 10 years, MTUM returned 17.15%/yr vs 5.99%/yr for ICF. At a 0.44 correlation, their price movements are largely independent. MTUM charges 0.15%/yr vs 0.34%/yr for ICF.
Performance
MTUM vs. ICF - Performance Comparison
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Returns By Period
In the year-to-date period, MTUM achieves a 29.72% return, which is significantly higher than ICF's 16.93% return. Over the past 10 years, MTUM has outperformed ICF with an annualized return of 17.15%, while ICF has yielded a comparatively lower 5.99% annualized return.
MTUM
- 1D
- 1.69%
- 1M
- 5.58%
- YTD
- 29.72%
- 6M
- 30.51%
- 1Y
- 42.02%
- 3Y*
- 33.16%
- 5Y*
- 14.96%
- 10Y*
- 17.15%
ICF
- 1D
- 0.96%
- 1M
- 3.62%
- YTD
- 16.93%
- 6M
- 17.09%
- 1Y
- 15.91%
- 3Y*
- 11.06%
- 5Y*
- 3.38%
- 10Y*
- 5.99%
MTUM vs. ICF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 29.72% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
ICF iShares Cohen & Steers REIT ETF | 16.93% | 1.85% | 5.30% | 10.36% | -26.12% | 44.17% | -5.43% | 25.48% | -2.55% | 4.90% |
Correlation
The correlation between MTUM and ICF is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.29 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.40 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.41 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.44 |
Over the past year, the correlation between MTUM and ICF has dropped to 0.15 - well below their long-term average of 0.44, suggesting their price drivers have been diverging.
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Return for Risk
MTUM vs. ICF — Risk / Return Rank
MTUM
ICF
MTUM vs. ICF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) and iShares Cohen & Steers REIT ETF (ICF). 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 | ICF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.89 | ||
| Sortino ratioReturn per unit of downside risk | +1.10 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.19 | +0.17 |
| Calmar ratioReturn relative to maximum drawdown | 3.55 | 1.82 | +1.72 |
| Martin ratioReturn relative to average drawdown | 13.66 | 5.18 | +8.48 |
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Drawdowns
MTUM vs. ICF - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, smaller than the maximum ICF drawdown of -76.74%. Use the drawdown chart below to compare losses from any high point for MTUM and ICF.
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Drawdown Indicators
| MTUM | ICF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.08% | -76.74% | +42.66% |
Max Drawdown (1Y)Largest decline over 1 year | -11.54% | -8.20% | -3.34% |
Max Drawdown (3Y)Largest decline over 3 years | -20.99% | -17.25% | -3.74% |
Max Drawdown (5Y)Largest decline over 5 years | -32.28% | -34.74% | +2.46% |
Max Drawdown (10Y)Largest decline over 10 years | -34.08% | -40.22% | +6.14% |
Current DrawdownCurrent decline from peak | -1.55% | 0.00% | -1.55% |
Average DrawdownAverage peak-to-trough decline | -6.20% | -14.16% | +7.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 2.89% | +0.10% |
Volatility
MTUM vs. ICF - Volatility Comparison
iShares MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 10.89% compared to iShares Cohen & Steers REIT ETF (ICF) at 4.74%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier than ICF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MTUM | ICF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.89% | 4.74% | +6.15% |
Volatility (6M)Calculated over the trailing 6-month period | 18.63% | 10.33% | +8.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.87% | 13.94% | +6.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.94% | 18.95% | +1.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.20% | 20.60% | +0.60% |
MTUM vs. ICF - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is lower than ICF's 0.34% expense ratio.
Dividends
MTUM vs. ICF - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.61%, less than ICF's 2.38% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ICF iShares Cohen & Steers REIT ETF | 2.38% | 2.88% | 2.66% | 2.76% | 2.64% | 1.82% | 2.38% | 2.55% | 3.20% | 3.10% | 4.21% | 3.30% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.61% | 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 ICF have a correlation of 0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (10.89%) compared to ICF (4.74%). In terms of maximum drawdown, MTUM dropped -34.08% vs ICF's -76.74%.
On 10-year performance, MTUM leads with 17.15% vs 5.99% for ICF. On fees, MTUM is cheaper at 0.15% per year. On volatility, ICF has been the lower-risk option at 4.74%. 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 17.15% return vs 5.99%. 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 0.34% for ICF.
ICF has the higher dividend yield at 2.38%, compared with 0.61% for MTUM.
MTUM is categorized as Momentum, while ICF is REIT. MTUM tracks MSCI USA Momentum SR Variant Index, while ICF tracks Cohen & Steers Realty Majors Index. Their fees differ too: 0.15% for MTUM and 0.34% for ICF.
MTUM currently has the higher Sharpe Ratio (1.96 vs 1.07), 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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