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

Correlation

The correlation between MTUM and SPY is 0.86, 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.


-0.50.00.51.00.9

Performance

MTUM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Edge MSCI USA Momentum Factor ETF (MTUM) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember2025
14.04%
9.60%
MTUM
SPY

Key characteristics

Sharpe Ratio

MTUM:

1.99

SPY:

2.20

Sortino Ratio

MTUM:

2.69

SPY:

2.92

Omega Ratio

MTUM:

1.35

SPY:

1.41

Calmar Ratio

MTUM:

2.94

SPY:

3.35

Martin Ratio

MTUM:

11.47

SPY:

14.01

Ulcer Index

MTUM:

3.32%

SPY:

2.01%

Daily Std Dev

MTUM:

19.02%

SPY:

12.76%

Max Drawdown

MTUM:

-34.08%

SPY:

-55.19%

Current Drawdown

MTUM:

0.00%

SPY:

-0.45%

Returns By Period

In the year-to-date period, MTUM achieves a 6.69% return, which is significantly higher than SPY's 2.90% return. Both investments have delivered pretty close results over the past 10 years, with MTUM having a 13.62% annualized return and SPY not far behind at 13.39%.


MTUM

YTD

6.69%

1M

5.58%

6M

14.04%

1Y

34.80%

5Y*

12.06%

10Y*

13.62%

SPY

YTD

2.90%

1M

2.01%

6M

9.60%

1Y

26.34%

5Y*

14.48%

10Y*

13.39%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MTUM vs. SPY - Expense Ratio Comparison

MTUM has a 0.15% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


MTUM
iShares Edge MSCI USA Momentum Factor ETF
Expense ratio chart for MTUM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

MTUM vs. SPY — 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 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of MTUM is 7575
Sortino Ratio Rank
The Omega Ratio Rank of MTUM is 7373
Omega Ratio Rank
The Calmar Ratio Rank of MTUM is 7676
Calmar Ratio Rank
The Martin Ratio Rank of MTUM is 7878
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 8383
Overall Rank
The Sharpe Ratio Rank of SPY is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 8080
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 8383
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 8282
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 8585
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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor ETF (MTUM) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for MTUM, currently valued at 1.99, compared to the broader market0.002.004.001.992.20
The chart of Sortino ratio for MTUM, currently valued at 2.69, compared to the broader market0.005.0010.0015.002.692.92
The chart of Omega ratio for MTUM, currently valued at 1.35, compared to the broader market1.002.003.001.351.41
The chart of Calmar ratio for MTUM, currently valued at 2.94, compared to the broader market0.005.0010.0015.0020.002.943.35
The chart of Martin ratio for MTUM, currently valued at 11.47, compared to the broader market0.0020.0040.0060.0080.00100.0011.4714.01
MTUM
SPY

The current MTUM Sharpe Ratio is 1.99, which is comparable to the SPY Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of MTUM and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50AugustSeptemberOctoberNovemberDecember2025
1.99
2.20
MTUM
SPY

Dividends

MTUM vs. SPY - Dividend Comparison

MTUM's dividend yield for the trailing twelve months is around 0.70%, less than SPY's 1.17% yield.


TTM20242023202220212020201920182017201620152014
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.70%0.75%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%
SPY
SPDR S&P 500 ETF
1.17%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

MTUM vs. SPY - Drawdown Comparison

The maximum MTUM drawdown since its inception was -34.08%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MTUM and SPY. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember20250
-0.45%
MTUM
SPY

Volatility

MTUM vs. SPY - Volatility Comparison

iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 6.20% compared to SPDR S&P 500 ETF (SPY) at 5.17%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%AugustSeptemberOctoberNovemberDecember2025
6.20%
5.17%
MTUM
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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