MTUM.USvsSPY.US

MTUM.US (iShares MSCI USA Momentum Factor ETF) carries an annualised volatility of 17.4%, categorised as moderate relative to the long-run US equity benchmark of approximately 15%. SPY.US (SPDR S&P 500 ETF Trust) registers at 15.3%, a moderate reading by the same standard.

MTUM.US is marginally more volatile than SPY.US by 2.1% annualised. For most US long-term investors this difference is unlikely to be psychologically meaningful, though it will compound over multi-decade holding periods.

On the downside, MTUM.US's maximum peak-to-trough drawdown of 30.2% represents a severe bear-market drawdown over the study period. SPY.US's worst drawdown of 23.9% was a severe bear-market drawdown. SPY.US demonstrated stronger capital preservation characteristics, absorbing market shocks with less peak-to-trough damage.

When evaluating these two funds for a US-domiciled portfolio, it is important to consider that volatility and drawdown metrics are calculated on trailing historical data. Past standard deviations do not guarantee future behaviour, particularly around US Federal Reserve policy shifts, which have historically been the primary driver of cross-asset correlation breakdowns.

MTUM.US is positioned primarily within US Equity. SPY.US's exposure tilts toward US Equity. This sector divergence is one of the key structural drivers of the return and risk differences observed between the two funds over the study window.

For US investors building a diversified portfolio, the sector overlap — or lack thereof — between these two funds directly affects the marginal diversification benefit of holding both. Because both funds draw from the same US sector universe, holding both is unlikely to meaningfully reduce concentration risk beyond what either fund provides individually. An allocation to an uncorrelated asset class — such as US Treasury bonds (TLT) or commodities (PDBC) — would provide greater portfolio-level risk reduction.

Sector concentration is particularly consequential in the US equity market, where the top five S&P 500 holdings — Apple (AAPL), Microsoft (MSFT), Nvidia (NVDA), Amazon (AMZN), and Alphabet (GOOGL) — have at times represented over 25% of the total index by market capitalisation. Funds with heavy US Technology exposure amplify this mega-cap concentration risk, while broader market or equal-weight funds dilute it.

MTUM.US currently yields 82.00% annually, while SPY.US yields 0.98%. On a $10,000 initial investment held over the study period, MTUM.US generated approximately $0 in cumulative income distributions versus $3,513 for SPY.US — a gap of $3,513 in favour of SPY.US.

For US taxable account holders, the character of dividend distributions matters as much as the yield itself. Qualified dividends — those from US corporations held longer than the required 60-day holding period — are taxed at preferential long-term capital gains rates (0%, 15%, or 20% depending on income bracket). Non-qualified or ordinary dividends are taxed as ordinary income, which can reach 37% for high earners. US investors should consult their own tax advisors to understand which distribution category applies to each fund's payout history.

Income-focused US investors — particularly those using tax-advantaged accounts such as a 401(k), IRA, or Roth IRA — can compound dividend distributions without immediate tax drag. In a taxable brokerage account, a higher-yielding fund may generate less after-tax wealth than a lower-yielding fund with equivalent total return, depending on the investor's marginal tax rate. The total return (price appreciation plus reinvested dividends) is generally the more complete measure of long-term performance.

MTUM.US's higher yield of 82.00% may appeal to US retirees or income-oriented investors who require regular cash flow from their portfolio. However, a higher yield is not automatically superior — it must be evaluated alongside payout sustainability, CAGR, and the fund's underlying sector composition.