MTUM vs XLF: Correlation & Overlap
How closely do iShares MSCI USA Momentum Factor ETF (MTUM) and Financial Select Sector SPDR Fund (XLF) trade together? Their weekly returns over three years give a correlation of 0.60, which is strong. Looking through to holdings, 5.3% of the two portfolios is the same by weight.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are MTUM and XLF?
Across a 3-year window, the weekly returns of MTUM and XLF correlate at 0.60, strong. The link has loosened recently: the 1-year correlation (0.33) runs below the 3-year figure (0.60). Stretching to 5 years gives 0.67, with an annualized covariance of 200.2 %².
Among the 109 assets we track against MTUM, XLF ranks #66 by 3-year correlation. Correlation aside, the last 12 months split them widely, with MTUM ahead by 15.9 points (+25.2% versus +9.3%). The relationship is regime-dependent: the rolling one-year correlation swung between 0.29 and 0.86 over the past three years, so this pair behaves very differently depending on the market environment.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
MTUM vs XLF: side by side
| MTUM (iShares MSCI USA Momentum Factor ETF) | XLF (Financial Select Sector SPDR Fund) | |
|---|---|---|
| 1-year return | +25.2% | +9.3% |
| 5-year return | +76.1% | +64.2% |
| Volatility (ann.) | 20.6% | 16.2% |
| Beta vs S&P 500 | 1.25 | 0.84 |
| Max drawdown (3Y) | -21.0% | -15.5% |
| Dividend yield | 0.62% | 1.42% |
| Expense ratio | 0.15% | 0.08% |
| Assets under management | $25.3B | $57.9B |
| Sector / category | ETF · US Style | Sector ETF |
MTUM is a Large Blend fund from iShares: $25.3B under management, 126 holdings, a 0.15% expense ratio, a 0.62% trailing dividend yield. XLF is a Financial fund from State Street Investment Management: $57.9B under management, 77 holdings, a 0.08% expense ratio, a 1.42% trailing dividend yield.
Portfolio overlap between MTUM and XLF
The two portfolios are largely distinct: 5.3% of the funds' weight sits in the same underlying holdings (9 common positions). Correlation tells you they move together; overlap tells you why.
| Common holding | Weight in MTUM | Weight in XLF |
|---|---|---|
| GS | 1.38% | 3.73% |
| C | 1.21% | 2.77% |
| MS | 1.08% | 3.12% |
| BNY | 0.66% | 1.36% |
| STT | 0.33% | 0.65% |
| NTRS | 0.19% | 0.42% |
| IBKR | 0.17% | 0.53% |
| CBOE | 0.16% | 0.40% |
| CFG | 0.14% | 0.36% |
Largest positions held only by MTUM: MU (6.60%), AMD (5.09%), AVGO (4.25%), INTC (3.91%), XOM (3.78%). Only by XLF: JPM (11.61%), BRK.B (11.25%), V (7.74%), MA (5.87%), BAC (4.94%).
Overlap = sum of the smaller of the two weights across common holdings, from issuer disclosures as of 2026-08-26. Top 9 common positions shown.
Year-by-year returns
| Year | MTUM | XLF |
|---|---|---|
| 2022 | -18.3% | -10.6% |
| 2023 | +9.1% | +12.0% |
| 2024 | +32.9% | +30.6% |
| 2025 | +22.1% | +14.9% |
| 2026 | +21.8% | +6.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are MTUM and XLF good diversifiers for each other?
Only partially. A correlation of 0.60 means MTUM and XLF share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between MTUM and XLF?
Using weekly returns as of 2026-08-27: 0.60 over 3 years, with 0.33 over the last year and 0.67 over 5 years.
Is XLF a good diversifier for MTUM?
Only partially. A correlation of 0.60 means MTUM and XLF share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
How much do MTUM and XLF overlap?
5.3% by weight, across 9 common holdings, based on issuer-disclosed portfolios as of 2026-08-26.
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