ROE vs. MTUM
ROE (Astoria US Equal Weight Quality Kings ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - ROE is a Quality Factor fund actively managed by Astoria, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. ROE is actively managed, while MTUM is passively managed. Over the past 3 years, ROE returned 20.30%/yr vs 27.89%/yr for MTUM. Their correlation of 0.82 means they have usually moved in the same direction. ROE charges 0.49%/yr vs 0.15%/yr for MTUM.
Performance
ROE vs. MTUM - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with ROE having a 20.35% return and MTUM slightly lower at 19.93%.
ROE
- 1D
- 0.50%
- 1M
- 0.63%
- 6M
- 16.21%
- YTD
- 20.35%
- 1Y
- 33.36%
- 3Y*
- 20.30%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 20.32%
MTUM
- 1D
- 0.27%
- 1M
- -5.35%
- 6M
- 17.31%
- YTD
- 19.93%
- 1Y
- 26.36%
- 3Y*
- 27.89%
- 5Y*
- 12.62%
- 10Y*
- 15.71%
- ALL TIME*
- 15.62%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $558.09M | $637.73M | $538.11M | |
| $1.20M | $1.18M | $910.23K |
ROE vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
ROE Astoria US Equal Weight Quality Kings ETF | 20.35% | 17.20% | 18.34% | 4.31% |
MTUM iShares MSCI USA Momentum Factor ETF | 19.93% | 22.15% | 32.89% | 7.47% |
Correlation
The correlation between ROE and MTUM is 0.83, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.83 |
Correlation (3Y) Balances recent behavior with more history. | 0.82 |
Correlation (All Time) Calculated using the full available price history since Aug 1, 2023 | 0.82 |
The correlation between ROE and MTUM has been stable across timeframes, ranging from 0.82 to 0.83 - a consistent structural relationship.
ROE vs. MTUM - Sectors Allocation Comparison
Sectors
ROE
MTUM
Technology
Financial Services
Communication Services
Consumer Cyclical
Healthcare
Industrials
Consumer Defensive
Energy
Real Estate
Utilities
Basic Materials
Technology
ROE
MTUM
Financial Services
ROE
MTUM
Communication Services
ROE
MTUM
Consumer Cyclical
ROE
MTUM
Healthcare
ROE
MTUM
Industrials
ROE
MTUM
Consumer Defensive
ROE
MTUM
Energy
ROE
MTUM
Real Estate
ROE
MTUM
Utilities
ROE
MTUM
Basic Materials
ROE
MTUM
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Return for Risk
ROE vs. MTUM — Risk / Return Rank
ROE
MTUM
ROE vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Astoria US Equal Weight Quality Kings ETF (ROE) 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.
| ROE | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.16 | ||
| Sortino ratioReturn per unit of downside risk | +1.43 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.19 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 3.72 | 1.40 | +2.32 |
| Martin ratioReturn relative to average drawdown | 15.82 | 5.72 | +10.10 |
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Drawdowns
ROE vs. MTUM - Drawdown Comparison
The maximum ROE drawdown since its inception was -19.10%, smaller than the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for ROE and MTUM.
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Drawdown Indicators
| ROE | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.10% | -34.08% | +14.98% |
Max Drawdown (1Y)Largest decline over 1 year | -8.66% | -17.99% | +9.33% |
Max Drawdown (3Y)Largest decline over 3 years | -19.10% | -20.99% | +1.89% |
Max Drawdown (5Y)Largest decline over 5 years | — | -32.28% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.08% | — |
Current DrawdownCurrent decline from peak | -1.30% | -13.22% | +11.92% |
Average DrawdownAverage peak-to-trough decline | -2.54% | -6.22% | +3.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.03% | 4.39% | -2.36% |
Volatility
ROE vs. MTUM - Volatility Comparison
The current volatility for Astoria US Equal Weight Quality Kings ETF (ROE) is 3.59%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 11.22%. This indicates that ROE 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
| ROE | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.59% | 11.22% | -7.63% |
Volatility (6M)Calculated over the trailing 6-month period | 11.81% | 23.33% | -11.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.07% | 25.53% | -10.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.87% | 21.89% | -6.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.87% | 21.72% | -5.85% |
ROE vs. MTUM - Expense Ratio Comparison
ROE has a 0.49% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Dividends
ROE vs. MTUM - Dividend Comparison
ROE's dividend yield for the trailing twelve months is around 1.01%, more than MTUM's 0.62% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 0.62% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
ROE Astoria US Equal Weight Quality Kings ETF | 1.01% | 0.97% | 1.18% | 0.68% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ROE and MTUM have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (11.22%) compared to ROE (3.59%). In terms of maximum drawdown, ROE dropped -19.10% vs MTUM's -34.08%.
On 3-year performance, MTUM leads with 27.89% vs 20.30% for ROE. On fees, MTUM is cheaper at 0.15% per year. On volatility, ROE has been the lower-risk option at 3.59%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, MTUM has performed better with a 27.89% return vs 20.30%. 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 0.49% for ROE.
ROE has the higher dividend yield at 1.01%, compared with 0.62% for MTUM.
ROE is categorized as Quality Factor, while MTUM is Momentum. They also come from different issuers: Astoria and iShares. Their fees differ too: 0.49% for ROE and 0.15% for MTUM.
ROE currently has the higher Sharpe Ratio (2.14 vs 0.99), 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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