MTUM vs. SPY
Compare and contrast key facts about iShares Edge MSCI USA Momentum Factor ETF (MTUM) and SPDR S&P 500 ETF (SPY).
MTUM and SPY 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. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both MTUM and SPY 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 SPY.
Performance
MTUM vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, MTUM achieves a 35.43% return, which is significantly higher than SPY's 25.41% return. Both investments have delivered pretty close results over the past 10 years, with MTUM having a 13.45% annualized return and SPY not far behind at 13.07%.
MTUM
35.43%
1.39%
12.47%
41.04%
12.96%
13.45%
SPY
25.41%
1.18%
12.15%
32.04%
15.51%
13.07%
Key characteristics
| MTUM | SPY | |
|---|---|---|
| Sharpe Ratio | 2.20 | 2.62 |
| Sortino Ratio | 2.98 | 3.50 |
| Omega Ratio | 1.39 | 1.49 |
| Calmar Ratio | 1.90 | 3.78 |
| Martin Ratio | 12.74 | 17.00 |
| Ulcer Index | 3.18% | 1.87% |
| Daily Std Dev | 18.44% | 12.14% |
| Max Drawdown | -34.08% | -55.19% |
| Current Drawdown | -1.05% | -1.38% |
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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%.
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.
Risk-Adjusted Performance
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.
Dividends
MTUM vs. SPY - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.55%, less than SPY's 1.19% 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% |
SPY SPDR S&P 500 ETF | 1.19% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
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.
Volatility
MTUM vs. SPY - Volatility Comparison
iShares Edge MSCI USA Momentum Factor ETF (MTUM) and SPDR S&P 500 ETF (SPY) have volatilities of 4.14% and 4.09%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.