MTUM vs. SFLR
MTUM (iShares MSCI USA Momentum Factor ETF) and SFLR (Innovator Equity Managed Floor ETF) are both exchange-traded funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while SFLR is a Options Trading fund actively managed by Innovator. MTUM is passively managed, while SFLR is actively managed. Over the past 3 years, MTUM returned 33.16%/yr vs 14.88%/yr for SFLR. A 0.79 correlation means they provide meaningful diversification when combined. MTUM charges 0.15%/yr vs 0.89%/yr for SFLR.
Performance
MTUM vs. SFLR - 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 SFLR's 3.84% 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%
SFLR
- 1D
- 0.34%
- 1M
- 0.39%
- YTD
- 3.84%
- 6M
- 4.29%
- 1Y
- 16.87%
- 3Y*
- 14.88%
- 5Y*
- —
- 10Y*
- —
MTUM vs. SFLR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 29.72% | 22.15% | 32.89% | 9.15% | -1.02% |
SFLR Innovator Equity Managed Floor ETF | 3.84% | 13.29% | 19.99% | 21.20% | 0.42% |
Correlation
The correlation between MTUM and SFLR is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Nov 9, 2022 | 0.79 |
The correlation between MTUM and SFLR has been stable across timeframes, ranging from 0.76 to 0.82 - a consistent structural relationship.
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Return for Risk
MTUM vs. SFLR — Risk / Return Rank
MTUM
SFLR
MTUM vs. SFLR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) and Innovator Equity Managed Floor ETF (SFLR). 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 | SFLR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.24 | ||
| Sortino ratioReturn per unit of downside risk | +0.32 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.33 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 3.55 | 2.40 | +1.15 |
| Martin ratioReturn relative to average drawdown | 13.66 | 9.51 | +4.15 |
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Drawdowns
MTUM vs. SFLR - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, which is greater than SFLR's maximum drawdown of -12.13%. Use the drawdown chart below to compare losses from any high point for MTUM and SFLR.
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Drawdown Indicators
| MTUM | SFLR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.08% | -12.13% | -21.95% |
Max Drawdown (1Y)Largest decline over 1 year | -11.54% | -6.79% | -4.75% |
Max Drawdown (3Y)Largest decline over 3 years | -20.99% | -12.13% | -8.86% |
Max Drawdown (5Y)Largest decline over 5 years | -32.28% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -34.08% | — | — |
Current DrawdownCurrent decline from peak | -1.55% | -2.22% | +0.67% |
Average DrawdownAverage peak-to-trough decline | -6.20% | -1.75% | -4.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 1.71% | +1.28% |
Volatility
MTUM vs. SFLR - Volatility Comparison
iShares MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 10.89% compared to Innovator Equity Managed Floor ETF (SFLR) at 3.81%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier than SFLR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MTUM | SFLR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.89% | 3.81% | +7.08% |
Volatility (6M)Calculated over the trailing 6-month period | 18.63% | 7.29% | +11.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.87% | 9.46% | +11.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.94% | 10.28% | +10.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.20% | 10.28% | +10.92% |
MTUM vs. SFLR - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is lower than SFLR's 0.89% expense ratio.
Dividends
MTUM vs. SFLR - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.61%, more than SFLR's 0.32% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SFLR Innovator Equity Managed Floor ETF | 0.32% | 0.33% | 0.42% | 1.16% | 0.06% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MTUM and SFLR have a correlation of 0.76, 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 SFLR (3.81%). In terms of maximum drawdown, MTUM dropped -34.08% vs SFLR's -12.13%.
On 3-year performance, MTUM leads with 33.16% vs 14.88% for SFLR. On fees, MTUM is cheaper at 0.15% per year. On volatility, SFLR has been the lower-risk option at 3.81%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, MTUM has performed better with a 33.16% return vs 14.88%. 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 0.89% for SFLR.
MTUM has the higher dividend yield at 0.61%, compared with 0.32% for SFLR.
MTUM is categorized as Momentum, while SFLR is Options Trading. They also come from different issuers: iShares and Innovator. Their fees differ too: 0.15% for MTUM and 0.89% for SFLR.
MTUM currently has the higher Sharpe Ratio (1.96 vs 1.72), 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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