MTUM vs. VFMO
Compare and contrast key facts about iShares Edge MSCI USA Momentum Factor ETF (MTUM) and Vanguard U.S. Momentum Factor ETF (VFMO).
MTUM and VFMO 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. VFMO is managed by Vanguard. It was launched on Feb 13, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MTUM or VFMO.
Key characteristics
| MTUM | VFMO | |
|---|---|---|
| YTD Return | 11.83% | 8.28% |
| 1Y Return | 26.25% | 29.20% |
| 3Y Return (Ann) | 1.92% | 4.95% |
| 5Y Return (Ann) | 10.26% | 13.04% |
| Sharpe Ratio | 1.55 | 1.61 |
| Daily Std Dev | 15.56% | 17.20% |
| Max Drawdown | -34.08% | -36.77% |
| Current Drawdown | -7.27% | -6.23% |
Correlation
The correlation between MTUM and VFMO is 0.89, 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.
Performance
MTUM vs. VFMO - Performance Comparison
In the year-to-date period, MTUM achieves a 11.83% return, which is significantly higher than VFMO's 8.28% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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MTUM vs. VFMO - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is higher than VFMO's 0.13% 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%.
Risk-Adjusted Performance
MTUM vs. VFMO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor ETF (MTUM) and Vanguard U.S. Momentum Factor ETF (VFMO). 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. VFMO - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.84%, more than VFMO's 0.68% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.84% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
VFMO Vanguard U.S. Momentum Factor ETF | 0.68% | 0.89% | 1.72% | 0.81% | 0.45% | 1.22% | 0.70% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
MTUM vs. VFMO - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, smaller than the maximum VFMO drawdown of -36.77%. Use the drawdown chart below to compare losses from any high point for MTUM and VFMO. For additional features, visit the drawdowns tool.
Volatility
MTUM vs. VFMO - Volatility Comparison
iShares Edge MSCI USA Momentum Factor ETF (MTUM) and Vanguard U.S. Momentum Factor ETF (VFMO) have volatilities of 5.95% and 5.78%, 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.