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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.


-0.50.00.51.0
Correlation: 0.9

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.

340.00%360.00%380.00%400.00%420.00%NovemberDecember2025FebruaryMarchApril
343.22%
330.45%
MTUM
SPY

Key characteristics

Sharpe Ratio

MTUM:

0.27

SPY:

0.32

Sortino Ratio

MTUM:

0.48

SPY:

0.51

Omega Ratio

MTUM:

1.06

SPY:

1.07

Calmar Ratio

MTUM:

0.38

SPY:

0.39

Martin Ratio

MTUM:

1.17

SPY:

1.52

Ulcer Index

MTUM:

4.80%

SPY:

3.13%

Daily Std Dev

MTUM:

21.07%

SPY:

14.74%

Max Drawdown

MTUM:

-34.08%

SPY:

-55.19%

Current Drawdown

MTUM:

-14.81%

SPY:

-12.17%

Returns By Period

In the year-to-date period, MTUM achieves a -5.52% return, which is significantly higher than SPY's -8.15% return. Both investments have delivered pretty close results over the past 10 years, with MTUM having a 12.13% annualized return and SPY not far behind at 11.89%.


MTUM

YTD

-5.52%

1M

-6.88%

6M

-2.79%

1Y

4.73%

5Y*

15.37%

10Y*

12.13%

SPY

YTD

-8.15%

1M

-6.68%

6M

-4.88%

1Y

4.64%

5Y*

18.45%

10Y*

11.89%

*Annualized

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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%.


Expense ratio chart for MTUM: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
MTUM: 0.15%
Expense ratio chart for SPY: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPY: 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 4949
Overall Rank
The Sharpe Ratio Rank of MTUM is 4545
Sharpe Ratio Rank
The Sortino Ratio Rank of MTUM is 4646
Sortino Ratio Rank
The Omega Ratio Rank of MTUM is 4747
Omega Ratio Rank
The Calmar Ratio Rank of MTUM is 5656
Calmar Ratio Rank
The Martin Ratio Rank of MTUM is 4949
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 3636
Overall Rank
The Sharpe Ratio Rank of SPY is 3333
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 3131
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 3333
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 4141
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 4141
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.


The chart of Sharpe ratio for MTUM, currently valued at 0.27, compared to the broader market0.002.004.00
MTUM: 0.27
SPY: 0.32
The chart of Sortino ratio for MTUM, currently valued at 0.48, compared to the broader market-2.000.002.004.006.008.0010.0012.00
MTUM: 0.48
SPY: 0.51
The chart of Omega ratio for MTUM, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.00
MTUM: 1.06
SPY: 1.07
The chart of Calmar ratio for MTUM, currently valued at 0.38, compared to the broader market0.005.0010.0015.00
MTUM: 0.38
SPY: 0.39
The chart of Martin ratio for MTUM, currently valued at 1.17, compared to the broader market0.0020.0040.0060.0080.00100.00
MTUM: 1.17
SPY: 1.52

The current MTUM Sharpe Ratio is 0.27, which is comparable to the SPY Sharpe Ratio of 0.32. 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.27
0.32
MTUM
SPY

Dividends

MTUM vs. SPY - Dividend Comparison

MTUM's dividend yield for the trailing twelve months is around 0.98%, less than SPY's 1.34% yield.


TTM20242023202220212020201920182017201620152014
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.98%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
1.34%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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-14.81%
-12.17%
MTUM
SPY

Volatility

MTUM vs. SPY - Volatility Comparison

iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 10.26% compared to SPDR S&P 500 ETF (SPY) at 7.47%. 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%NovemberDecember2025FebruaryMarchApril
10.26%
7.47%
MTUM
SPY