SPSM vs. MTUM

Last updated Jun 13, 2026

SPSM (State Street SPDR Portfolio S&P 600 Small Cap ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - SPSM is a Small Cap Blend Equities fund tracking the S&P SmallCap 600 Index, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 10 years, SPSM returned 11.30%/yr vs 17.15%/yr for MTUM. A 0.66 correlation means they provide meaningful diversification when combined. SPSM charges 0.03%/yr vs 0.15%/yr for MTUM.

Performance

SPSM vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) 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, SPSM achieves a 19.73% return, which is significantly lower than MTUM's 29.72% return. Over the past 10 years, SPSM has underperformed MTUM with an annualized return of 11.30%, while MTUM has yielded a comparatively higher 17.15% annualized return.

SPSM

• 1D: 0.99%
• 1M: 5.61%
• YTD: 19.73%
• 6M: 16.52%
• 1Y: 37.11%
• 3Y*: 14.81%
• 5Y*: 6.32%
• 10Y*: 11.30%

MTUM

• 1D: 1.69%
• 1M: 5.58%
• YTD: 29.72%
• 6M: 30.51%
• 1Y: 42.02%
• 3Y*: 33.16%
• 5Y*: 14.96%
• 10Y*: 17.15%

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

SPSM vs. MTUM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SPSM State Street SPDR Portfolio S&P 600 Small Cap ETF	19.73%	6.11%	8.55%	16.11%	-16.12%	26.67%	11.69%	25.85%	-11.17%	15.44%
MTUM iShares MSCI USA Momentum Factor ETF	29.72%	22.15%	32.89%	9.15%	-18.27%	13.36%	29.86%	27.25%	-1.67%	37.50%

Correlation

The correlation between SPSM and MTUM is 0.61, 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	0.61
Correlation (3Y) Calculated over the trailing 3-year period	0.61
Correlation (5Y) Calculated over the trailing 5-year period	0.69
Correlation (10Y) Calculated over the trailing 10-year period	0.65
Correlation (All Time) Calculated using the full available price history since Jul 9, 2013	0.66

The correlation between SPSM and MTUM has been stable across timeframes, ranging from 0.61 to 0.69 - a consistent structural relationship.

SPSM vs. MTUM - Sectors Allocation Comparison

Sectors	SPSM	MTUM
Financial Services	16.9%	10.4%
Industrials	15.5%	15.6%
Technology	15.5%	44.4%
Consumer Cyclical	13.4%	3.6%
Healthcare	11.0%	6.9%
Real Estate	7.7%	1.8%
Energy	5.9%	3.5%
Basic Materials	5.1%	1.7%
Communication Services	3.6%	7.4%
Consumer Defensive	3.5%	3.3%
Utilities	2.0%	1.6%

Return for Risk

SPSM vs. MTUM — Risk / Return Rank

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

SPSM

SPSM Risk / Return Rank: 74
SPSM Sharpe Ratio Rank: 69
SPSM Sortino Ratio Rank: 72
SPSM Omega Ratio Rank: 64
SPSM Calmar Ratio Rank: 84
SPSM Martin Ratio Rank: 79

MTUM

MTUM Risk / Return Rank: 73
MTUM Sharpe Ratio Rank: 70
MTUM Sortino Ratio Rank: 66
MTUM Omega Ratio Rank: 70
MTUM Calmar Ratio Rank: 78
MTUM Martin Ratio Rank: 81

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.

SPSM vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) 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.

	SPSM	MTUM	Difference
Sharpe ratio: Return per unit of total volatility	1.95	1.96	-0.01
Sortino ratio: Return per unit of downside risk	2.80	2.62	+0.19
Omega ratio: Gain probability vs. loss probability	1.33	1.36	-0.02
Calmar ratio: Return relative to maximum drawdown	3.96	3.55	+0.42
Martin ratio: Return relative to average drawdown	13.39	13.66	-0.27

SPSM vs. MTUM - Sharpe Ratio Comparison

The current SPSM Sharpe Ratio is 1.95, which is comparable to the MTUM Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of SPSM 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

SPSM vs. MTUM - Drawdown Comparison

The maximum SPSM drawdown since its inception was -42.89%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for SPSM and MTUM.

Drawdown Indicators

	SPSM	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-42.89%	-34.08%	-8.81%
Max Drawdown (1Y) Largest decline over 1 year	-8.72%	-11.54%	+2.82%
Max Drawdown (3Y) Largest decline over 3 years	-27.94%	-20.99%	-6.95%
Max Drawdown (5Y) Largest decline over 5 years	-27.94%	-32.28%	+4.34%
Max Drawdown (10Y) Largest decline over 10 years	-42.89%	-34.08%	-8.81%
Current Drawdown Current decline from peak	0.00%	-1.55%	+1.55%
Average Drawdown Average peak-to-trough decline	-7.91%	-6.20%	-1.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.59%	2.99%	-0.40%

Volatility

SPSM vs. MTUM - Volatility Comparison

The current volatility for State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) is 5.14%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 10.89%. This indicates that SPSM 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

	SPSM	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.14%	10.89%	-5.75%
Volatility (6M) Calculated over the trailing 6-month period	11.96%	18.63%	-6.67%
Volatility (1Y) Calculated over the trailing 1-year period	17.69%	20.87%	-3.18%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.45%	20.94%	+0.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.00%	21.20%	+1.80%

SPSM vs. MTUM - Expense Ratio Comparison

SPSM has a 0.03% expense ratio, which is lower than MTUM's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

SPSM vs. MTUM - Dividend Comparison

SPSM's dividend yield for the trailing twelve months is around 1.37%, more than MTUM's 0.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MTUM iShares MSCI USA Momentum Factor ETF	0.61%	0.91%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%
SPSM State Street SPDR Portfolio S&P 600 Small Cap ETF	1.37%	1.62%	1.85%	1.61%	1.38%	1.40%	1.34%	1.58%	1.82%	1.51%	1.49%	2.37%

Frequently Asked Questions

Can I hold both SPSM and MTUM in my portfolio?

SPSM and MTUM have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPSM or MTUM?

MTUM has higher volatility (10.89%) compared to SPSM (5.14%). In terms of maximum drawdown, SPSM dropped -42.89% vs MTUM's -34.08%.

Which ETF is better, SPSM or MTUM?

On 10-year performance, MTUM leads with 17.15% vs 11.30% for SPSM. On fees, SPSM is cheaper at 0.03% per year. On volatility, SPSM has been the lower-risk option at 5.14%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPSM or MTUM?

Over the 10-year period, MTUM has performed better with a 17.15% return vs 11.30%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPSM or MTUM?

SPSM is cheaper with a 0.03% expense ratio, compared with 0.15% for MTUM.

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

SPSM has the higher dividend yield at 1.37%, compared with 0.61% for MTUM.

What is the main difference between SPSM and MTUM?

SPSM is categorized as Small Cap Blend Equities, while MTUM is Momentum. SPSM tracks S&P SmallCap 600 Index, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: State Street and iShares. Their fees differ too: 0.03% for SPSM and 0.15% for MTUM.

Which has better risk-adjusted returns?

MTUM currently has the higher Sharpe Ratio (1.96 vs 1.95), 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.