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MTUM vs. LIT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MTUM and LIT is 0.61, 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

MTUM vs. LIT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Edge MSCI USA Momentum Factor ETF (MTUM) and Global X Lithium & Battery Tech ETF (LIT). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

MTUM:

0.77

LIT:

-0.56

Sortino Ratio

MTUM:

1.19

LIT:

-0.63

Omega Ratio

MTUM:

1.17

LIT:

0.93

Calmar Ratio

MTUM:

0.92

LIT:

-0.27

Martin Ratio

MTUM:

3.18

LIT:

-1.09

Ulcer Index

MTUM:

6.09%

LIT:

16.06%

Daily Std Dev

MTUM:

24.91%

LIT:

32.91%

Max Drawdown

MTUM:

-34.08%

LIT:

-65.91%

Current Drawdown

MTUM:

-5.10%

LIT:

-59.65%

Returns By Period

In the year-to-date period, MTUM achieves a 5.24% return, which is significantly higher than LIT's -7.63% return. Over the past 10 years, MTUM has outperformed LIT with an annualized return of 13.31%, while LIT has yielded a comparatively lower 5.48% annualized return.


MTUM

YTD

5.24%

1M

8.72%

6M

2.19%

1Y

18.96%

5Y*

13.58%

10Y*

13.31%

LIT

YTD

-7.63%

1M

7.60%

6M

-14.86%

1Y

-18.16%

5Y*

8.72%

10Y*

5.48%

*Annualized

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MTUM vs. LIT - Expense Ratio Comparison

MTUM has a 0.15% expense ratio, which is lower than LIT's 0.75% expense ratio.


Risk-Adjusted Performance

MTUM vs. LIT — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MTUM
The Risk-Adjusted Performance Rank of MTUM is 7676
Overall Rank
The Sharpe Ratio Rank of MTUM is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of MTUM is 7575
Sortino Ratio Rank
The Omega Ratio Rank of MTUM is 7575
Omega Ratio Rank
The Calmar Ratio Rank of MTUM is 8181
Calmar Ratio Rank
The Martin Ratio Rank of MTUM is 7777
Martin Ratio Rank

LIT
The Risk-Adjusted Performance Rank of LIT is 55
Overall Rank
The Sharpe Ratio Rank of LIT is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of LIT is 44
Sortino Ratio Rank
The Omega Ratio Rank of LIT is 55
Omega Ratio Rank
The Calmar Ratio Rank of LIT is 77
Calmar Ratio Rank
The Martin Ratio Rank of LIT is 55
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

MTUM vs. LIT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor ETF (MTUM) and Global X Lithium & Battery Tech ETF (LIT). 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.


The current MTUM Sharpe Ratio is 0.77, which is higher than the LIT Sharpe Ratio of -0.56. The chart below compares the historical Sharpe Ratios of MTUM and LIT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

MTUM vs. LIT - Dividend Comparison

MTUM's dividend yield for the trailing twelve months is around 0.88%, less than LIT's 1.01% yield.


TTM20242023202220212020201920182017201620152014
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.88%0.75%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%
LIT
Global X Lithium & Battery Tech ETF
1.01%0.93%1.11%0.99%0.22%0.40%1.85%2.52%3.26%2.15%0.24%1.07%

Drawdowns

MTUM vs. LIT - Drawdown Comparison

The maximum MTUM drawdown since its inception was -34.08%, smaller than the maximum LIT drawdown of -65.91%. Use the drawdown chart below to compare losses from any high point for MTUM and LIT. For additional features, visit the drawdowns tool.


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Volatility

MTUM vs. LIT - Volatility Comparison


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