MTUM vs. YCS
MTUM (iShares MSCI USA Momentum Factor ETF) and YCS (ProShares UltraShort Yen) are both exchange-traded funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while YCS is a Leveraged Currency fund tracking the USD/JPY Exchange Rate (-200%). Both are passively managed. Over the past 10 years, MTUM returned 18.03%/yr vs 13.63%/yr for YCS. At a 0.16 correlation, their price movements are largely independent. MTUM charges 0.15%/yr vs 1.00%/yr for YCS.
Performance
MTUM vs. YCS - Performance Comparison
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Returns By Period
In the year-to-date period, MTUM achieves a 38.19% return, which is significantly higher than YCS's 9.78% return. Over the past 10 years, MTUM has outperformed YCS with an annualized return of 18.03%, while YCS has yielded a comparatively lower 13.63% annualized return.
MTUM
- 1D
- 1.98%
- 1M
- 13.83%
- YTD
- 38.19%
- 6M
- 36.52%
- 1Y
- 50.96%
- 3Y*
- 35.93%
- 5Y*
- 16.53%
- 10Y*
- 18.03%
YCS
- 1D
- 0.40%
- 1M
- 3.71%
- YTD
- 9.78%
- 6M
- 9.63%
- 1Y
- 31.36%
- 3Y*
- 18.43%
- 5Y*
- 23.50%
- 10Y*
- 13.63%
MTUM vs. YCS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 38.19% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
YCS ProShares UltraShort Yen | 9.78% | 9.04% | 35.41% | 28.70% | 29.09% | 22.38% | -11.18% | 3.37% | -1.49% | -6.57% |
Correlation
The correlation between MTUM and YCS is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.09 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.16 |
The correlation between MTUM and YCS shifts across timeframes, from -0.14 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
MTUM vs. YCS — Risk / Return Rank
MTUM
YCS
MTUM vs. YCS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) and ProShares UltraShort Yen (YCS). 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 | YCS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.53 | ||
| Sortino ratioReturn per unit of downside risk | +0.73 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.35 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 4.44 | 3.79 | +0.64 |
| Martin ratioReturn relative to average drawdown | 17.05 | 11.86 | +5.19 |
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Drawdowns
MTUM vs. YCS - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, smaller than the maximum YCS drawdown of -49.56%. Use the drawdown chart below to compare losses from any high point for MTUM and YCS.
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Drawdown Indicators
| MTUM | YCS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.08% | -49.56% | +15.48% |
Max Drawdown (1Y)Largest decline over 1 year | -11.54% | -8.30% | -3.24% |
Max Drawdown (3Y)Largest decline over 3 years | -20.99% | -23.05% | +2.06% |
Max Drawdown (5Y)Largest decline over 5 years | -32.28% | -27.32% | -4.96% |
Max Drawdown (10Y)Largest decline over 10 years | -34.08% | -27.32% | -6.76% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -6.19% | -19.88% | +13.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.00% | 2.65% | +0.35% |
Volatility
MTUM vs. YCS - Volatility Comparison
iShares MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 11.02% compared to ProShares UltraShort Yen (YCS) at 2.22%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier than YCS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MTUM | YCS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.02% | 2.22% | +8.80% |
Volatility (6M)Calculated over the trailing 6-month period | 18.88% | 12.19% | +6.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.48% | 16.96% | +4.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.06% | 21.10% | -0.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.28% | 18.96% | +2.32% |
MTUM vs. YCS - Expense Ratio Comparison
MTUM has a 0.15% expense ratio, which is lower than YCS's 1.00% expense ratio.
Dividends
MTUM vs. YCS - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.54%, while YCS has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 0.54% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
YCS ProShares UltraShort Yen | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MTUM and YCS have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (11.02%) compared to YCS (2.22%). In terms of maximum drawdown, MTUM dropped -34.08% vs YCS's -49.56%.
On 10-year performance, MTUM leads with 18.03% vs 13.63% for YCS. On fees, MTUM is cheaper at 0.15% per year. On volatility, YCS has been the lower-risk option at 2.22%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MTUM has performed better with a 18.03% return vs 13.63%. 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 1.00% for YCS.
MTUM has the higher dividend yield at 0.54%, compared with 0.00% for YCS.
MTUM is categorized as Momentum, while YCS is Leveraged Currency. MTUM tracks MSCI USA Momentum SR Variant Index, while YCS tracks USD/JPY Exchange Rate (-200%). They also come from different issuers: iShares and ProShares. Their fees differ too: 0.15% for MTUM and 1.00% for YCS.
MTUM currently has the higher Sharpe Ratio (2.39 vs 1.86), 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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