STOX vs. MTUM

Last updated Jul 9, 2026

STOX (Horizon Core Equity ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - STOX is a Large Cap Blend Equities fund managed by Horizon, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Over the past year, STOX returned 21.77% vs 34.11% for MTUM. Their correlation of 0.83 suggests significant overlap in exposure. STOX charges 0.70%/yr vs 0.15%/yr for MTUM.

Performance

STOX vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Horizon Core Equity ETF (STOX) 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, STOX achieves a 9.35% return, which is significantly lower than MTUM's 26.04% return.

STOX

• 1D: -0.10%
• 1M: 1.69%
• 6M: 8.22%
• YTD: 9.35%
• 1Y: 21.77%
• 3Y*: —
• 5Y*: —
• 10Y*: —

MTUM

• 1D: 0.77%
• 1M: 0.04%
• 6M: 23.01%
• YTD: 26.04%
• 1Y: 34.11%
• 3Y*: 31.66%
• 5Y*: 14.03%
• 10Y*: 16.37%

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

STOX vs. MTUM - Yearly Performance Comparison

	2026 (YTD)	2025
STOX Horizon Core Equity ETF	9.35%	13.00%
MTUM iShares MSCI USA Momentum Factor ETF	26.04%	6.97%

Correlation

The correlation between STOX and MTUM is 0.83, 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	0.83
Correlation (All Time) Calculated using the full available price history since Jun 26, 2025	0.83

The correlation between STOX and MTUM has been stable across timeframes, ranging from 0.83 to 0.83 - a consistent structural relationship.

Return for Risk

STOX vs. MTUM — Risk / Return Rank

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

STOX

STOX Risk / Return Rank: 66
STOX Sharpe Ratio Rank: 67
STOX Sortino Ratio Rank: 66
STOX Omega Ratio Rank: 67
STOX Calmar Ratio Rank: 59
STOX Martin Ratio Rank: 73

MTUM

MTUM Risk / Return Rank: 58
MTUM Sharpe Ratio Rank: 50
MTUM Sortino Ratio Rank: 45
MTUM Omega Ratio Rank: 51
MTUM Calmar Ratio Rank: 72
MTUM Martin Ratio Rank: 71

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.

STOX vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Horizon Core Equity ETF (STOX) 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.

	STOX	MTUM	Difference
Sharpe ratio: Return per unit of total volatility	1.72	1.45	+0.27
Sortino ratio: Return per unit of downside risk	2.41	1.96	+0.45
Omega ratio: Gain probability vs. loss probability	1.31	1.27	+0.04
Calmar ratio: Return relative to maximum drawdown	2.34	2.97	-0.63
Martin ratio: Return relative to average drawdown	10.62	10.56	+0.06

STOX vs. MTUM - Sharpe Ratio Comparison

The current STOX Sharpe Ratio is 1.72, which is comparable to the MTUM Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of STOX 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

STOX vs. MTUM - Drawdown Comparison

The maximum STOX drawdown since its inception was -9.33%, smaller than the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for STOX and MTUM.

Drawdown Indicators

	STOX	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-9.33%	-34.08%	+24.75%
Max Drawdown (1Y) Largest decline over 1 year	-9.33%	-11.54%	+2.21%
Max Drawdown (3Y) Largest decline over 3 years	—	-20.99%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-32.28%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-34.08%	—
Current Drawdown Current decline from peak	-0.78%	-8.80%	+8.02%
Average Drawdown Average peak-to-trough decline	-1.20%	-6.19%	+4.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.05%	3.24%	-1.19%

Volatility

STOX vs. MTUM - Volatility Comparison

The current volatility for Horizon Core Equity ETF (STOX) is 4.15%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 13.36%. This indicates that STOX 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

	STOX	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.15%	13.36%	-9.21%
Volatility (6M) Calculated over the trailing 6-month period	9.86%	21.41%	-11.55%
Volatility (1Y) Calculated over the trailing 1-year period	12.71%	23.61%	-10.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.70%	21.53%	-8.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.70%	21.49%	-8.79%

STOX vs. MTUM - Expense Ratio Comparison

STOX has a 0.70% expense ratio, which is higher than MTUM's 0.15% expense ratio.

Dividends

STOX vs. MTUM - Dividend Comparison

STOX's dividend yield for the trailing twelve months is around 0.17%, 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%
STOX Horizon Core Equity ETF	0.17%	0.19%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both STOX and MTUM in my portfolio?

STOX 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.

Which is riskier, STOX or MTUM?

MTUM has higher volatility (13.36%) compared to STOX (4.15%). In terms of maximum drawdown, STOX dropped -9.33% vs MTUM's -34.08%.

Which ETF is better, STOX or MTUM?

On 1-year performance, MTUM leads with 34.11% vs 21.77% for STOX. On fees, MTUM is cheaper at 0.15% per year. On volatility, STOX has been the lower-risk option at 4.15%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, STOX or MTUM?

Over the 1-year period, MTUM has performed better with a 34.11% return vs 21.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, STOX or MTUM?

MTUM is cheaper with a 0.15% expense ratio, compared with 0.70% for STOX.

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

MTUM has the higher dividend yield at 0.59%, compared with 0.17% for STOX.

What is the main difference between STOX and MTUM?

STOX is categorized as Large Cap Blend Equities, while MTUM is Momentum. They also come from different issuers: Horizon and iShares. Their fees differ too: 0.70% for STOX and 0.15% for MTUM.

Which has better risk-adjusted returns?

STOX currently has the higher Sharpe Ratio (1.72 vs 1.45), 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.