VFMO vs. MTUM
Compare and contrast key facts about Vanguard U.S. Momentum Factor ETF (VFMO) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
VFMO and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VFMO is managed by Vanguard. It was launched on Feb 13, 2018. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VFMO or MTUM.
Performance
VFMO vs. MTUM - Performance Comparison
Returns By Period
In the year-to-date period, VFMO achieves a 32.00% return, which is significantly lower than MTUM's 35.43% return.
VFMO
32.00%
4.33%
15.15%
46.40%
16.85%
N/A
MTUM
35.43%
1.39%
12.47%
41.04%
12.96%
13.45%
Key characteristics
| VFMO | MTUM | |
|---|---|---|
| Sharpe Ratio | 2.39 | 2.20 |
| Sortino Ratio | 3.16 | 2.98 |
| Omega Ratio | 1.40 | 1.39 |
| Calmar Ratio | 3.17 | 1.90 |
| Martin Ratio | 14.76 | 12.74 |
| Ulcer Index | 3.08% | 3.18% |
| Daily Std Dev | 18.98% | 18.44% |
| Max Drawdown | -36.77% | -34.08% |
| Current Drawdown | -2.49% | -1.05% |
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VFMO vs. MTUM - Expense Ratio Comparison
VFMO has a 0.13% 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%.
Correlation
The correlation between VFMO and MTUM is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
VFMO vs. MTUM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) and iShares Edge 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.
Dividends
VFMO vs. MTUM - Dividend Comparison
VFMO's dividend yield for the trailing twelve months is around 0.65%, more than MTUM's 0.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VFMO Vanguard U.S. Momentum Factor ETF | 0.65% | 0.89% | 1.72% | 0.81% | 0.45% | 1.23% | 0.70% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.55% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
Drawdowns
VFMO vs. MTUM - Drawdown Comparison
The maximum VFMO drawdown since its inception was -36.77%, which is greater than MTUM's maximum drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for VFMO and MTUM. For additional features, visit the drawdowns tool.
Volatility
VFMO vs. MTUM - Volatility Comparison
Vanguard U.S. Momentum Factor ETF (VFMO) has a higher volatility of 5.78% compared to iShares Edge MSCI USA Momentum Factor ETF (MTUM) at 4.14%. This indicates that VFMO's price experiences larger fluctuations and is considered to be riskier than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.