SPHB vs. MTUM

Last updated Jul 14, 2026

SPHB (Invesco S&P 500® High Beta ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - SPHB is a S&P 500 fund tracking the S&P 500 High Beta Index, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 10 years, SPHB returned 18.26%/yr vs 16.34%/yr for MTUM. A 0.71 correlation means they provide meaningful diversification when combined. SPHB charges 0.25%/yr vs 0.15%/yr for MTUM.

Performance

SPHB vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500® High Beta ETF (SPHB) and iShares MSCI USA Momentum Factor ETF (MTUM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with SPHB having a 24.96% return and MTUM slightly higher at 25.95%. Over the past 10 years, SPHB has outperformed MTUM with an annualized return of 18.26%, while MTUM has yielded a comparatively lower 16.34% annualized return.

SPHB

• 1D: -2.52%
• 1M: -1.92%
• 6M: 18.87%
• YTD: 24.96%
• 1Y: 44.79%
• 3Y*: 23.78%
• 5Y*: 15.78%
• 10Y*: 18.26%

MTUM

• 1D: -2.22%
• 1M: -2.90%
• 6M: 21.75%
• YTD: 25.95%
• 1Y: 34.12%
• 3Y*: 30.38%
• 5Y*: 14.17%
• 10Y*: 16.34%

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

SPHB vs. MTUM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SPHB Invesco S&P 500® High Beta ETF	24.96%	32.87%	8.48%	33.28%	-20.59%	40.58%	25.56%	33.96%	-15.55%	17.87%
MTUM iShares MSCI USA Momentum Factor ETF	25.95%	22.15%	32.89%	9.15%	-18.27%	13.36%	29.86%	27.25%	-1.67%	37.50%

Correlation

The correlation between SPHB and MTUM is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (10Y) Calculated over the trailing 10-year period	0.71
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013	0.71

The correlation between SPHB and MTUM shifts across timeframes, from 0.71 (10 years) to 0.84 (1 year), reflecting how their relationship changes across market environments.

SPHB vs. MTUM - Sectors Allocation Comparison

Sectors	SPHB	MTUM
Technology	43.7%	50.2%
Financial Services	14.5%	5.0%
Industrials	13.1%	15.0%
Consumer Cyclical	9.9%	2.9%
Healthcare	6.2%	3.5%
Utilities	3.2%	0.6%
Basic Materials	2.4%	2.3%
Communication Services	1.7%	5.1%
Consumer Defensive	0.9%	3.7%
Energy	0.8%	10.5%
Real Estate	-	1.3%

Return for Risk

SPHB vs. MTUM — Risk / Return Rank

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

SPHB

SPHB Risk / Return Rank: 75
SPHB Sharpe Ratio Rank: 70
SPHB Sortino Ratio Rank: 63
SPHB Omega Ratio Rank: 63
SPHB Calmar Ratio Rank: 89
SPHB Martin Ratio Rank: 88

MTUM

MTUM Risk / Return Rank: 60
MTUM Sharpe Ratio Rank: 53
MTUM Sortino Ratio Rank: 49
MTUM Omega Ratio Rank: 54
MTUM Calmar Ratio Rank: 73
MTUM Martin Ratio Rank: 70

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.

SPHB vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® High Beta ETF (SPHB) 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.

	SPHB	MTUM	Difference
Sharpe ratio: Return per unit of total volatility	1.79	1.44	+0.35
Sortino ratio: Return per unit of downside risk	2.33	1.95	+0.39
Omega ratio: Gain probability vs. loss probability	1.30	1.27	+0.03
Calmar ratio: Return relative to maximum drawdown	4.21	2.97	+1.24
Martin ratio: Return relative to average drawdown	14.82	10.23	+4.59

SPHB vs. MTUM - Sharpe Ratio Comparison

The current SPHB Sharpe Ratio is 1.79, which is comparable to the MTUM Sharpe Ratio of 1.44. The chart below compares the historical Sharpe Ratios of SPHB 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.

Drawdowns

SPHB vs. MTUM - Drawdown Comparison

The maximum SPHB drawdown since its inception was -46.84%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for SPHB and MTUM.

Drawdown Indicators

	SPHB	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-46.84%	-34.08%	-12.76%
Max Drawdown (1Y) Largest decline over 1 year	-10.70%	-11.54%	+0.84%
Max Drawdown (3Y) Largest decline over 3 years	-29.21%	-20.99%	-8.22%
Max Drawdown (5Y) Largest decline over 5 years	-31.49%	-32.28%	+0.79%
Max Drawdown (10Y) Largest decline over 10 years	-46.84%	-34.08%	-12.76%
Current Drawdown Current decline from peak	-7.06%	-8.86%	+1.80%
Average Drawdown Average peak-to-trough decline	-8.47%	-6.19%	-2.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.03%	3.34%	-0.31%

Volatility

SPHB vs. MTUM - Volatility Comparison

The current volatility for Invesco S&P 500® High Beta ETF (SPHB) is 11.33%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 13.18%. This indicates that SPHB 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.

Volatility by Period

	SPHB	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.33%	13.18%	-1.85%
Volatility (6M) Calculated over the trailing 6-month period	20.68%	21.54%	-0.86%
Volatility (1Y) Calculated over the trailing 1-year period	25.22%	23.81%	+1.41%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	27.83%	21.54%	+6.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	28.50%	21.52%	+6.98%

SPHB vs. MTUM - Expense Ratio Comparison

SPHB has a 0.25% expense ratio, which is higher than MTUM's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

SPHB vs. MTUM - Dividend Comparison

SPHB's dividend yield for the trailing twelve months is around 0.56%, less than MTUM's 0.59% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MTUM iShares MSCI USA Momentum Factor ETF	0.59%	0.91%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%
SPHB Invesco S&P 500® High Beta ETF	0.56%	0.60%	0.80%	0.73%	0.72%	0.91%	1.90%	1.26%	1.96%	1.34%	0.93%	1.69%

Frequently Asked Questions

Can I hold both SPHB and MTUM in my portfolio?

SPHB and MTUM have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPHB or MTUM?

MTUM has higher volatility (13.18%) compared to SPHB (11.33%). In terms of maximum drawdown, SPHB dropped -46.84% vs MTUM's -34.08%.

Which ETF is better, SPHB or MTUM?

On 10-year performance, SPHB leads with 18.26% vs 16.34% for MTUM. On fees, MTUM is cheaper at 0.15% per year. On volatility, SPHB has been the lower-risk option at 11.33%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPHB or MTUM?

Over the 10-year period, SPHB has performed better with a 18.26% return vs 16.34%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPHB or MTUM?

MTUM is cheaper with a 0.15% expense ratio, compared with 0.25% for SPHB.

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

MTUM has the higher dividend yield at 0.59%, compared with 0.56% for SPHB.

What is the main difference between SPHB and MTUM?

SPHB is categorized as S&P 500, while MTUM is Momentum. SPHB tracks S&P 500 High Beta Index, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.25% for SPHB and 0.15% for MTUM.

Which has better risk-adjusted returns?

SPHB currently has the higher Sharpe Ratio (1.79 vs 1.44), 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.