XZMU.DE vs. MTUM
XZMU.DE (Xtrackers MSCI USA ESG UCITS ETF 1C) and MTUM (iShares MSCI USA Momentum Factor ETF) are both exchange-traded funds - XZMU.DE is a Large Cap Blend Equities fund tracking the MSCI USA Low Carbon SRI Leaders, while MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index. Both are passively managed. Over the past 5 years, XZMU.DE returned 14.63%/yr vs 14.80%/yr for MTUM. At a 0.49 correlation, their price movements are largely independent. Both charge a 0.15% expense ratio.
Performance
XZMU.DE vs. MTUM - Performance Comparison
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Different Trading Currencies
XZMU.DE is traded in EUR, while MTUM is traded in USD. To make them comparable, the MTUM values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, XZMU.DE achieves a 8.21% return, which is significantly lower than MTUM's 24.95% return.
XZMU.DE
- 1D
- 0.69%
- 1M
- 3.83%
- YTD
- 8.21%
- 6M
- 8.42%
- 1Y
- 23.33%
- 3Y*
- 18.71%
- 5Y*
- 14.63%
- 10Y*
- —
MTUM
- 1D
- -5.20%
- 1M
- 4.46%
- YTD
- 24.95%
- 6M
- 22.95%
- 1Y
- 32.62%
- 3Y*
- 28.49%
- 5Y*
- 14.80%
- 10Y*
- 16.30%
XZMU.DE vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
XZMU.DE Xtrackers MSCI USA ESG UCITS ETF 1C | 8.21% | 5.12% | 32.57% | 26.56% | -17.86% | 45.90% | 9.13% | 36.81% | -5.06% |
MTUM iShares MSCI USA Momentum Factor ETF | 24.95% | 7.65% | 41.66% | 5.87% | -13.20% | 21.84% | 19.16% | 30.13% | -2.32% |
Correlation
The correlation between XZMU.DE and MTUM is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (All Time) Calculated using the full available price history since Nov 21, 2018 | 0.49 |
The correlation between XZMU.DE and MTUM has been stable across timeframes, ranging from 0.48 to 0.52 - a consistent structural relationship.
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Return for Risk
XZMU.DE vs. MTUM — Risk / Return Rank
XZMU.DE
MTUM
XZMU.DE vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI USA ESG UCITS ETF 1C (XZMU.DE) 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.
| XZMU.DE | MTUM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.29 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.31 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.16 | 3.44 | -1.28 |
| Martin ratioReturn relative to average drawdown | 7.62 | 11.66 | -4.04 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| XZMU.DE | MTUM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.84 | 1.69 | +0.15 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.89 | 0.72 | +0.17 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.76 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.94 | 0.83 | +0.11 |
Drawdowns
XZMU.DE vs. MTUM - Drawdown Comparison
The maximum XZMU.DE drawdown since its inception was -33.82%, roughly equal to the maximum MTUM drawdown of -33.58%. Use the drawdown chart below to compare losses from any high point for XZMU.DE and MTUM.
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Drawdown Indicators
| XZMU.DE | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.82% | -33.58% | -0.24% |
Max Drawdown (1Y)Largest decline over 1 year | -10.82% | -9.54% | -1.28% |
Max Drawdown (3Y)Largest decline over 3 years | -24.76% | -24.93% | +0.17% |
Max Drawdown (5Y)Largest decline over 5 years | -24.76% | -25.86% | +1.10% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.58% | — |
Current DrawdownCurrent decline from peak | -0.48% | -6.36% | +5.88% |
Average DrawdownAverage peak-to-trough decline | -5.40% | -5.82% | +0.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.07% | 2.80% | +0.27% |
Volatility
XZMU.DE vs. MTUM - Volatility Comparison
The current volatility for Xtrackers MSCI USA ESG UCITS ETF 1C (XZMU.DE) is 3.08%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 8.98%. This indicates that XZMU.DE 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.
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Volatility by Period
| XZMU.DE | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.08% | 8.98% | -5.90% |
Volatility (6M)Calculated over the trailing 6-month period | 8.87% | 16.50% | -7.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.73% | 19.46% | -6.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.23% | 20.67% | -4.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.89% | 21.52% | -3.63% |
XZMU.DE vs. MTUM - Expense Ratio Comparison
Both XZMU.DE and MTUM have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Dividends
XZMU.DE vs. MTUM - Dividend Comparison
XZMU.DE has not paid dividends to shareholders, while MTUM's dividend yield for the trailing twelve months is around 0.64%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 0.64% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
XZMU.DE Xtrackers MSCI USA ESG UCITS ETF 1C | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
XZMU.DE and MTUM have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
Both ETFs have the same 0.15% expense ratio. The better choice depends on whether you care most about return, fees, risk, or income.
XZMU.DE and MTUM have the same expense ratio: 0.15% per year.
XZMU.DE is categorized as Large Cap Blend Equities, while MTUM is Momentum. XZMU.DE tracks MSCI USA Low Carbon SRI Leaders, while MTUM tracks MSCI USA Momentum SR Variant Index. They also come from different issuers: Xtrackers and iShares.
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