TAIL vs. MTUM

Last updated Jun 13, 2026

TAIL (Cambria Tail Risk ETF) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - TAIL is a Volatility Hedged Equity fund actively managed by Cambria, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. TAIL is actively managed, while MTUM is passively managed. Over the past 5 years, TAIL returned -8.40%/yr vs 14.96%/yr for MTUM. At a correlation of -0.60, they often move in opposite directions. TAIL charges 0.59%/yr vs 0.15%/yr for MTUM.

Performance

TAIL vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tail Risk ETF (TAIL) 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, TAIL achieves a -5.78% return, which is significantly lower than MTUM's 29.72% return.

TAIL

• 1D: -0.60%
• 1M: -0.32%
• YTD: -5.78%
• 6M: -6.25%
• 1Y: -8.88%
• 3Y*: -4.93%
• 5Y*: -8.40%
• 10Y*: —

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)

TAIL vs. MTUM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TAIL Cambria Tail Risk ETF	-5.78%	5.48%	-9.62%	-13.29%	-13.13%	-12.81%	6.91%	-14.27%	2.85%	-7.55%
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%	16.64%

Correlation

The correlation between TAIL and MTUM is -0.54, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.54
Correlation (3Y) Calculated over the trailing 3-year period	-0.54
Correlation (5Y) Calculated over the trailing 5-year period	-0.63
Correlation (All Time) Calculated using the full available price history since Jun 13, 2017	-0.60

The correlation between TAIL and MTUM has been stable across timeframes, ranging from -0.63 to -0.54 - a consistent structural relationship.

TAIL vs. MTUM - Sectors Allocation Comparison

Sectors	TAIL	MTUM
Technology	35.6%	44.4%
Financial Services	11.8%	10.4%
Communication Services	11.2%	7.4%
Consumer Cyclical	10.1%	3.6%
Healthcare	8.5%	6.9%
Industrials	8.3%	15.6%
Consumer Defensive	4.9%	3.3%
Energy	3.5%	3.5%
Utilities	2.4%	1.6%
Real Estate	1.9%	1.8%
Basic Materials	1.8%	1.7%

Return for Risk

TAIL vs. MTUM — Risk / Return Rank

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

TAIL

TAIL Risk / Return Rank: 2
TAIL Sharpe Ratio Rank: 2
TAIL Sortino Ratio Rank: 2
TAIL Omega Ratio Rank: 2
TAIL Calmar Ratio Rank: 3
TAIL Martin Ratio Rank: 0

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.

TAIL vs. MTUM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) 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.

	TAIL	MTUM	Difference
Sharpe ratio: Return per unit of total volatility	-1.00	1.96	-2.97
Sortino ratio: Return per unit of downside risk	-1.43	2.62	-4.05
Omega ratio: Gain probability vs. loss probability	0.84	1.36	-0.52
Calmar ratio: Return relative to maximum drawdown	-0.78	3.55	-4.33
Martin ratio: Return relative to average drawdown	-1.82	13.66	-15.48

TAIL vs. MTUM - Sharpe Ratio Comparison

The current TAIL Sharpe Ratio is -1.00, which is lower than the MTUM Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of TAIL 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

TAIL vs. MTUM - Drawdown Comparison

The maximum TAIL drawdown since its inception was -52.36%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for TAIL and MTUM.

Drawdown Indicators

	TAIL	MTUM	Difference
Max Drawdown Largest peak-to-trough decline	-52.36%	-34.08%	-18.28%
Max Drawdown (1Y) Largest decline over 1 year	-10.99%	-11.54%	+0.55%
Max Drawdown (3Y) Largest decline over 3 years	-20.69%	-20.99%	+0.30%
Max Drawdown (5Y) Largest decline over 5 years	-38.44%	-32.28%	-6.16%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.08%	—
Current Drawdown Current decline from peak	-51.35%	-1.55%	-49.80%
Average Drawdown Average peak-to-trough decline	-29.18%	-6.20%	-22.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.68%	2.99%	+1.69%

Volatility

TAIL vs. MTUM - Volatility Comparison

The current volatility for Cambria Tail Risk ETF (TAIL) is 1.51%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 10.89%. This indicates that TAIL 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

	TAIL	MTUM	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.51%	10.89%	-9.38%
Volatility (6M) Calculated over the trailing 6-month period	6.56%	18.63%	-12.07%
Volatility (1Y) Calculated over the trailing 1-year period	8.51%	20.87%	-12.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.91%	20.94%	-6.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.92%	21.20%	-6.28%

TAIL vs. MTUM - Expense Ratio Comparison

TAIL has a 0.59% expense ratio, which is higher than MTUM's 0.15% expense ratio.

Dividends

TAIL vs. MTUM - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.48%, 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%
TAIL Cambria Tail Risk ETF	3.48%	2.88%	3.48%	3.74%	1.50%	0.49%	0.36%	1.58%	1.52%	0.91%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TAIL and MTUM in my portfolio?

TAIL and MTUM have a correlation of -0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TAIL or MTUM?

MTUM has higher volatility (10.89%) compared to TAIL (1.51%). In terms of maximum drawdown, TAIL dropped -52.36% vs MTUM's -34.08%.

Which ETF is better, TAIL or MTUM?

On 5-year performance, MTUM leads with 14.96% vs -8.40% for TAIL. On fees, MTUM is cheaper at 0.15% per year. On volatility, TAIL has been the lower-risk option at 1.51%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TAIL or MTUM?

Over the 5-year period, MTUM has performed better with a 14.96% return vs -8.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TAIL or MTUM?

MTUM is cheaper with a 0.15% expense ratio, compared with 0.59% for TAIL.

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

TAIL has the higher dividend yield at 3.48%, compared with 0.61% for MTUM.

What is the main difference between TAIL and MTUM?

TAIL is categorized as Volatility Hedged Equity, while MTUM is Momentum. They also come from different issuers: Cambria and iShares. Their fees differ too: 0.59% for TAIL and 0.15% for MTUM.

Which has better risk-adjusted returns?

MTUM currently has the higher Sharpe Ratio (1.96 vs -1.00), 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.