PYZ vs. MTUM

Last updated Jun 4, 2026

PYZ (Invesco DWA Basic Materials Momentum ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both Momentum funds - PYZ tracks the Dorsey Wright Basic Materials Technical Leaders Index while MTUM tracks the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 10 years, PYZ returned 10.47%/yr vs 17.31%/yr for MTUM. A 0.60 correlation means they provide meaningful diversification when combined. PYZ charges 0.60%/yr vs 0.15%/yr for MTUM.

Performance

PYZ vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DWA Basic Materials Momentum ETF (PYZ) and iShares MSCI USA Momentum Factor ETF (MTUM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PYZ achieves a 19.96% return, which is significantly lower than MTUM's 31.75% return. Over the past 10 years, PYZ has underperformed MTUM with an annualized return of 10.47%, while MTUM has yielded a comparatively higher 17.31% annualized return.

PYZ

• 1D: -1.14%
• 1M: 3.78%
• YTD: 19.96%
• 6M: 23.71%
• 1Y: 46.27%
• 3Y*: 18.73%
• 5Y*: 8.15%
• 10Y*: 10.47%

MTUM

• 1D: 1.06%
• 1M: 15.90%
• YTD: 31.75%
• 6M: 32.38%
• 1Y: 41.76%
• 3Y*: 34.75%
• 5Y*: 15.21%
• 10Y*: 17.31%

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

PYZ vs. MTUM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PYZ Invesco DWA Basic Materials Momentum ETF	19.96%	28.01%	2.54%	9.56%	-15.45%	32.68%	15.39%	20.66%	-24.33%	20.01%
MTUM iShares MSCI USA Momentum Factor ETF	31.75%	22.15%	32.89%	9.15%	-18.27%	13.36%	29.86%	27.25%	-1.67%	37.50%

Correlation

The correlation between PYZ and MTUM is 0.58, 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	0.58
Correlation (3Y) Calculated over the trailing 3-year period	0.57
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (10Y) Calculated over the trailing 10-year period	0.58
Correlation (All Time) Calculated using the full available price history since Apr 19, 2013	0.60

The correlation between PYZ and MTUM has been stable across timeframes, ranging from 0.57 to 0.65 - a consistent structural relationship.

PYZ vs. MTUM - Sectors Allocation Comparison

Sectors	PYZ	MTUM
Basic Materials	86.3%	1.7%
Industrials	13.7%	15.6%
Consumer Cyclical	4.2%	3.6%
Energy	3.8%	3.5%
Consumer Defensive	0.6%	3.3%
Communication Services	-	7.4%
Financial Services	-	10.4%
Healthcare	-	6.9%
Real Estate	-	1.8%
Technology	-	44.4%
Utilities	-	1.6%

Return for Risk

PYZ vs. MTUM — Risk / Return Rank

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

PYZ

PYZ Risk / Return Rank: 51
PYZ Sharpe Ratio Rank: 54
PYZ Sortino Ratio Rank: 50
PYZ Omega Ratio Rank: 49
PYZ Calmar Ratio Rank: 53
PYZ Martin Ratio Rank: 51

MTUM

MTUM Risk / Return Rank: 67
MTUM Sharpe Ratio Rank: 64
MTUM Sortino Ratio Rank: 62
MTUM Omega Ratio Rank: 63
MTUM Calmar Ratio Rank: 71
MTUM Martin Ratio Rank: 75

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.

PYZ vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DWA Basic Materials Momentum ETF (PYZ) and iShares MSCI USA Momentum Factor ETF (MTUM). 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.

	PYZ	MTUM	Difference
Sharpe ratio: Return per unit of total volatility	1.82	2.20	-0.38
Sortino ratio: Return per unit of downside risk	2.42	2.98	-0.55
Omega ratio: Gain probability vs. loss probability	1.31	1.39	-0.09
Calmar ratio: Return relative to maximum drawdown	2.62	3.64	-1.02
Martin ratio: Return relative to average drawdown	8.64	14.50	-5.86
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PYZ vs. MTUM - Sharpe Ratio Comparison

The current PYZ Sharpe Ratio is 1.82, which is comparable to the MTUM Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of PYZ and MTUM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PYZ	MTUM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.82	2.20	-0.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.32	0.74	-0.42
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.40	0.83	-0.43
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	0.85	-0.48

Drawdowns

PYZ vs. MTUM - Drawdown Comparison

The maximum PYZ drawdown since its inception was -65.15%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for PYZ and MTUM.

Drawdown Indicators

	PYZ	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-65.15%	-34.08%	-31.07%
Max Drawdown (1Y) Largest decline over 1 year	-17.75%	-11.54%	-6.21%
Max Drawdown (3Y) Largest decline over 3 years	-26.74%	-20.99%	-5.75%
Max Drawdown (5Y) Largest decline over 5 years	-32.97%	-32.28%	-0.69%
Max Drawdown (10Y) Largest decline over 10 years	-52.46%	-34.08%	-18.38%
Current Drawdown Current decline from peak	-1.14%	0.00%	-1.14%
Average Drawdown Average peak-to-trough decline	-12.64%	-6.21%	-6.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.37%	2.89%	+2.48%

Volatility

PYZ vs. MTUM - Volatility Comparison

Invesco DWA Basic Materials Momentum ETF (PYZ) and iShares MSCI USA Momentum Factor ETF (MTUM) have volatilities of 7.68% and 7.68%, 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

	PYZ	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.68%	7.68%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	20.11%	16.46%	+3.65%
Volatility (1Y) Calculated over the trailing 1-year period	25.57%	19.04%	+6.53%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	25.69%	20.60%	+5.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.43%	21.03%	+5.40%

PYZ vs. MTUM - Expense Ratio Comparison

PYZ has a 0.60% expense ratio, which is higher than MTUM's 0.15% expense ratio.

Dividends

PYZ vs. MTUM - Dividend Comparison

PYZ's dividend yield for the trailing twelve months is around 0.52%, less than MTUM's 0.60% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MTUM iShares MSCI USA Momentum Factor ETF	0.60%	0.91%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%
PYZ Invesco DWA Basic Materials Momentum ETF	0.52%	0.72%	1.13%	1.19%	1.18%	0.33%	1.04%	1.38%	1.20%	0.53%	1.07%	1.25%

Frequently Asked Questions

Can I hold both PYZ and MTUM in my portfolio?

PYZ and MTUM have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PYZ or MTUM?

MTUM has higher volatility (7.68%) compared to PYZ (7.68%). In terms of maximum drawdown, PYZ dropped -65.15% vs MTUM's -34.08%.

Which ETF is better, PYZ or MTUM?

On 10-year performance, MTUM leads with 17.31% vs 10.47% for PYZ. On fees, MTUM is cheaper at 0.15% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PYZ or MTUM?

Over the 10-year period, MTUM has performed better with a 17.31% return vs 10.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PYZ or MTUM?

MTUM is cheaper with a 0.15% expense ratio, compared with 0.60% for PYZ.

Which ETF pays a higher dividend yield, PYZ or MTUM?

MTUM has the higher dividend yield at 0.60%, compared with 0.52% for PYZ.

What is the main difference between PYZ and MTUM?

PYZ tracks Dorsey Wright Basic Materials Technical Leaders Index, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.60% for PYZ and 0.15% for MTUM.

Which has better risk-adjusted returns?

MTUM currently has the higher Sharpe Ratio (2.20 vs 1.82), 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.