RAFE vs. MTUM
RAFE (PIMCO RAFI ESG U.S. ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - RAFE is a Large Cap Blend Equities fund tracking the RAFI ESG US Index, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 5 years, RAFE returned 11.34%/yr vs 15.18%/yr for MTUM. A 0.70 correlation means they provide meaningful diversification when combined. RAFE charges 0.30%/yr vs 0.15%/yr for MTUM.
Performance
RAFE vs. MTUM - Performance Comparison
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Returns By Period
In the year-to-date period, RAFE achieves a 13.45% return, which is significantly lower than MTUM's 32.00% return.
RAFE
- 1D
- -0.39%
- 1M
- 2.23%
- YTD
- 13.45%
- 6M
- 12.91%
- 1Y
- 29.87%
- 3Y*
- 19.07%
- 5Y*
- 11.34%
- 10Y*
- —
MTUM
- 1D
- -4.48%
- 1M
- 8.74%
- YTD
- 32.00%
- 6M
- 29.92%
- 1Y
- 41.78%
- 3Y*
- 33.87%
- 5Y*
- 15.18%
- 10Y*
- 17.49%
RAFE vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
RAFE PIMCO RAFI ESG U.S. ETF | 13.45% | 17.60% | 13.81% | 18.80% | -13.76% | 30.16% | 5.29% | 0.43% |
MTUM iShares MSCI USA Momentum Factor ETF | 32.00% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 1.32% |
Correlation
The correlation between RAFE and MTUM 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 | 0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Dec 19, 2019 | 0.70 |
The correlation between RAFE and MTUM shifts across timeframes, from 0.65 (1 year) to 0.77 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
RAFE vs. MTUM — Risk / Return Rank
RAFE
MTUM
RAFE vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO RAFI ESG U.S. ETF (RAFE) 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.
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.
| RAFE | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.69 | ||
| Sortino ratioReturn per unit of downside risk | +1.10 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 1.35 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 4.02 | 3.64 | +0.39 |
| Martin ratioReturn relative to average drawdown | 15.57 | 13.91 | +1.66 |
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Drawdowns
RAFE vs. MTUM - Drawdown Comparison
The maximum RAFE drawdown since its inception was -35.74%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for RAFE and MTUM.
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Drawdown Indicators
| RAFE | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.74% | -34.08% | -1.66% |
Max Drawdown (1Y)Largest decline over 1 year | -7.46% | -11.54% | +4.08% |
Max Drawdown (3Y)Largest decline over 3 years | -16.36% | -20.99% | +4.63% |
Max Drawdown (5Y)Largest decline over 5 years | -24.28% | -32.28% | +8.00% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.08% | — |
Current DrawdownCurrent decline from peak | -1.25% | -4.48% | +3.23% |
Average DrawdownAverage peak-to-trough decline | -6.17% | -6.19% | +0.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.92% | 3.01% | -1.09% |
Volatility
RAFE vs. MTUM - Volatility Comparison
The current volatility for PIMCO RAFI ESG U.S. ETF (RAFE) is 3.88%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 12.20%. This indicates that RAFE experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| RAFE | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.88% | 12.20% | -8.32% |
Volatility (6M)Calculated over the trailing 6-month period | 8.71% | 19.44% | -10.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.54% | 21.93% | -10.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.10% | 21.15% | -6.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.40% | 21.31% | -1.91% |
RAFE vs. MTUM - Expense Ratio Comparison
RAFE has a 0.30% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Dividends
RAFE vs. MTUM - Dividend Comparison
RAFE's dividend yield for the trailing twelve months is around 1.50%, more than MTUM's 0.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 0.56% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
RAFE PIMCO RAFI ESG U.S. ETF | 1.50% | 1.67% | 1.79% | 1.81% | 2.22% | 1.42% | 2.36% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
RAFE and MTUM 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.
MTUM has higher volatility (12.20%) compared to RAFE (3.88%). In terms of maximum drawdown, RAFE dropped -35.74% vs MTUM's -34.08%.
On 5-year performance, MTUM leads with 15.18% vs 11.34% for RAFE. On fees, MTUM is cheaper at 0.15% per year. On volatility, RAFE has been the lower-risk option at 3.88%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, MTUM has performed better with a 15.18% return vs 11.34%. 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 0.30% for RAFE.
RAFE has the higher dividend yield at 1.50%, compared with 0.56% for MTUM.
RAFE is categorized as Large Cap Blend Equities, while MTUM is Momentum. RAFE tracks RAFI ESG US Index, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: PIMCO and iShares. Their fees differ too: 0.30% for RAFE and 0.15% for MTUM.
RAFE currently has the higher Sharpe Ratio (2.61 vs 1.92), 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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