MTUM vs. QQQ
Compare and contrast key facts about iShares Edge MSCI USA Momentum Factor ETF (MTUM) and Invesco QQQ (QQQ).
MTUM and QQQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999. Both MTUM and QQQ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MTUM or QQQ.
Performance
MTUM vs. QQQ - Performance Comparison
Returns By Period
In the year-to-date period, MTUM achieves a 35.43% return, which is significantly higher than QQQ's 23.40% return. Over the past 10 years, MTUM has underperformed QQQ with an annualized return of 13.45%, while QQQ has yielded a comparatively higher 18.08% annualized return.
MTUM
35.43%
1.39%
12.47%
41.04%
12.96%
13.45%
QQQ
23.40%
1.56%
10.75%
30.41%
20.90%
18.08%
Key characteristics
| MTUM | QQQ | |
|---|---|---|
| Sharpe Ratio | 2.20 | 1.71 |
| Sortino Ratio | 2.98 | 2.29 |
| Omega Ratio | 1.39 | 1.31 |
| Calmar Ratio | 1.90 | 2.19 |
| Martin Ratio | 12.74 | 7.95 |
| Ulcer Index | 3.18% | 3.73% |
| Daily Std Dev | 18.44% | 17.38% |
| Max Drawdown | -34.08% | -82.98% |
| Current Drawdown | -1.05% | -2.13% |
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MTUM vs. QQQ - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between MTUM and QQQ is 0.85, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
MTUM vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor ETF (MTUM) and Invesco QQQ (QQQ). 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.
Dividends
MTUM vs. QQQ - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.55%, less than QQQ's 0.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.55% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
QQQ Invesco QQQ | 0.60% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.02% |
Drawdowns
MTUM vs. QQQ - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for MTUM and QQQ. For additional features, visit the drawdowns tool.
Volatility
MTUM vs. QQQ - Volatility Comparison
The current volatility for iShares Edge MSCI USA Momentum Factor ETF (MTUM) is 4.14%, while Invesco QQQ (QQQ) has a volatility of 5.66%. This indicates that MTUM experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.