PFI vs. MMTM

Last updated Jun 24, 2026

PFI (Invesco Dorsey Wright Financial Momentum ETF) and MMTM (SPDR S&P 1500 Momentum Tilt ETF) are both Momentum funds - PFI tracks the Dorsey Wright Financials Technical Leaders Index while MMTM tracks the S&P 1500 Positive Momentum Tilt Index. Both are passively managed. Over the past 10 years, PFI returned 9.22%/yr vs 14.83%/yr for MMTM. A 0.66 correlation means they provide meaningful diversification when combined. PFI charges 0.60%/yr vs 0.12%/yr for MMTM.

Performance

PFI vs. MMTM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dorsey Wright Financial Momentum ETF (PFI) and SPDR S&P 1500 Momentum Tilt ETF (MMTM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PFI achieves a 7.04% return, which is significantly higher than MMTM's 5.27% return. Over the past 10 years, PFI has underperformed MMTM with an annualized return of 9.22%, while MMTM has yielded a comparatively higher 14.83% annualized return.

PFI

• 1D: 0.56%
• 1M: 4.63%
• YTD: 7.04%
• 6M: 4.43%
• 1Y: 12.22%
• 3Y*: 16.97%
• 5Y*: 5.43%
• 10Y*: 9.22%

MMTM

• 1D: -2.31%
• 1M: -3.83%
• YTD: 5.27%
• 6M: 3.94%
• 1Y: 18.98%
• 3Y*: 20.33%
• 5Y*: 12.49%
• 10Y*: 14.83%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PFI vs. MMTM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PFI Invesco Dorsey Wright Financial Momentum ETF	7.04%	1.98%	30.58%	12.58%	-24.09%	28.70%	13.85%	36.54%	-17.18%	15.00%
MMTM SPDR S&P 1500 Momentum Tilt ETF	5.27%	13.26%	29.94%	22.49%	-16.12%	26.33%	19.27%	29.98%	-4.62%	24.41%

Correlation

The correlation between PFI and MMTM is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.65
Correlation (3Y) Calculated over the trailing 3-year period	0.67
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (10Y) Calculated over the trailing 10-year period	0.71
Correlation (All Time) Calculated using the full available price history since Oct 25, 2012	0.66

The correlation between PFI and MMTM shifts across timeframes, from 0.65 (1 year) to 0.76 (5 years), reflecting how their relationship changes across market environments.

PFI vs. MMTM - Sectors Allocation Comparison

Sectors	PFI	MMTM
Financial Services	81.2%	15.1%
Real Estate	18.8%	3.0%
Basic Materials	-	1.9%
Communication Services	-	7.4%
Consumer Cyclical	-	12.1%
Consumer Defensive	-	6.2%
Energy	-	1.6%
Healthcare	-	10.7%
Industrials	-	7.3%
Technology	-	32.3%
Utilities	-	2.4%

Return for Risk

PFI vs. MMTM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PFI

PFI Risk / Return Rank: 20
PFI Sharpe Ratio Rank: 20
PFI Sortino Ratio Rank: 19
PFI Omega Ratio Rank: 19
PFI Calmar Ratio Rank: 20
PFI Martin Ratio Rank: 22

MMTM

MMTM Risk / Return Rank: 41
MMTM Sharpe Ratio Rank: 38
MMTM Sortino Ratio Rank: 37
MMTM Omega Ratio Rank: 37
MMTM Calmar Ratio Rank: 40
MMTM Martin Ratio Rank: 51

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PFI vs. MMTM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Financial Momentum ETF (PFI) and SPDR S&P 1500 Momentum Tilt ETF (MMTM). 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.

	PFI	MMTM	Difference
Sharpe ratio: Return per unit of total volatility	0.66	1.31	-0.66
Sortino ratio: Return per unit of downside risk	0.99	1.85	-0.86
Omega ratio: Gain probability vs. loss probability	1.12	1.24	-0.11
Calmar ratio: Return relative to maximum drawdown	0.89	1.93	-1.04
Martin ratio: Return relative to average drawdown	2.65	8.42	-5.77

PFI vs. MMTM - Sharpe Ratio Comparison

The current PFI Sharpe Ratio is 0.66, which is lower than the MMTM Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of PFI and MMTM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PFI vs. MMTM - Drawdown Comparison

The maximum PFI drawdown since its inception was -59.53%, which is greater than MMTM's maximum drawdown of -33.85%. Use the drawdown chart below to compare losses from any high point for PFI and MMTM.

Drawdown Indicators

	PFI	MMTM	Difference
Max Drawdown Largest peak-to-trough decline	-59.53%	-33.85%	-25.68%
Max Drawdown (1Y) Largest decline over 1 year	-13.86%	-9.89%	-3.97%
Max Drawdown (3Y) Largest decline over 3 years	-24.82%	-22.08%	-2.74%
Max Drawdown (5Y) Largest decline over 5 years	-35.43%	-23.72%	-11.71%
Max Drawdown (10Y) Largest decline over 10 years	-43.09%	-33.85%	-9.24%
Current Drawdown Current decline from peak	-1.04%	-4.99%	+3.95%
Average Drawdown Average peak-to-trough decline	-14.47%	-4.19%	-10.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.62%	2.26%	+2.36%

Volatility

PFI vs. MMTM - Volatility Comparison

Invesco Dorsey Wright Financial Momentum ETF (PFI) and SPDR S&P 1500 Momentum Tilt ETF (MMTM) have volatilities of 4.05% and 4.15%, 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.

Volatility by Period

	PFI	MMTM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.05%	4.15%	-0.10%
Volatility (6M) Calculated over the trailing 6-month period	13.70%	10.97%	+2.73%
Volatility (1Y) Calculated over the trailing 1-year period	18.77%	14.57%	+4.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.84%	18.26%	+3.58%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.26%	18.66%	+3.60%

PFI vs. MMTM - Expense Ratio Comparison

PFI has a 0.60% expense ratio, which is higher than MMTM's 0.12% expense ratio.

Dividends

PFI vs. MMTM - Dividend Comparison

PFI's dividend yield for the trailing twelve months is around 1.00%, more than MMTM's 0.88% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MMTM SPDR S&P 1500 Momentum Tilt ETF	0.88%	0.86%	0.83%	1.16%	1.67%	0.95%	1.14%	1.55%	1.64%	1.52%	1.98%	1.68%
PFI Invesco Dorsey Wright Financial Momentum ETF	1.00%	0.68%	2.77%	1.85%	1.93%	1.28%	1.56%	0.92%	1.98%	0.35%	2.16%	1.44%

Frequently Asked Questions

Can I hold both PFI and MMTM in my portfolio?

PFI and MMTM have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PFI or MMTM?

MMTM has higher volatility (4.15%) compared to PFI (4.05%). In terms of maximum drawdown, PFI dropped -59.53% vs MMTM's -33.85%.

Which ETF is better, PFI or MMTM?

On 10-year performance, MMTM leads with 14.83% vs 9.22% for PFI. On fees, MMTM is cheaper at 0.12% per year. On volatility, PFI has been the lower-risk option at 4.05%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PFI or MMTM?

Over the 10-year period, MMTM has performed better with a 14.83% return vs 9.22%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PFI or MMTM?

MMTM is cheaper with a 0.12% expense ratio, compared with 0.60% for PFI.

Which ETF pays a higher dividend yield, PFI or MMTM?

PFI has the higher dividend yield at 1.00%, compared with 0.88% for MMTM.

What is the main difference between PFI and MMTM?

PFI tracks Dorsey Wright Financials Technical Leaders Index, while MMTM tracks S&P 1500 Positive Momentum Tilt Index. They also come from different issuers: Invesco and State Street. Their fees differ too: 0.60% for PFI and 0.12% for MMTM.

Which has better risk-adjusted returns?

MMTM currently has the higher Sharpe Ratio (1.31 vs 0.66), 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.