PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

iShares Edge MSCI USA Momentum Factor ETF (MTUM)

ETF · Currency in USD · Last updated Sep 21, 2023

MTUM is a passive ETF by iShares tracking the investment results of the MSCI USA Momentum Index. MTUM launched on Apr 16, 2013 and has a 0.15% expense ratio.

Summary

ETF Info

ISINUS46432F3964
CUSIP46432F396
IssueriShares
Inception DateApr 16, 2013
RegionNorth America (U.S.)
CategoryLarge Cap Growth Equities
Index TrackedMSCI USA Momentum Index
ETF Home Pagewww.ishares.com
Asset ClassEquity

Asset Class Size

Large-Cap

Asset Class Style

Growth

Expense Ratio

The iShares Edge MSCI USA Momentum Factor ETF features an expense ratio of 0.15%, falling within the medium range.


0.15%
0.00%2.15%

Share Price Chart


Loading data...

Performance

The chart shows the growth of an initial investment of $10,000 in iShares Edge MSCI USA Momentum Factor ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
6.28%
10.86%
MTUM (iShares Edge MSCI USA Momentum Factor ETF)
Benchmark (^GSPC)

S&P 500

Compare to other instruments

Search for stocks, ETFs, and funds to compare with MTUM

iShares Edge MSCI USA Momentum Factor ETF

Popular comparisons: MTUM vs. QQQ, MTUM vs. SPY, MTUM vs. VOO, MTUM vs. QMOM, MTUM vs. VTI, MTUM vs. JMOM, MTUM vs. VFMO, MTUM vs. LIT, MTUM vs. MMTM, MTUM vs. QUAL

Return

iShares Edge MSCI USA Momentum Factor ETF had a return of -1.28% year-to-date (YTD) and 6.23% in the last 12 months. Over the past 10 years, iShares Edge MSCI USA Momentum Factor ETF had an annualized return of 11.49%, outperforming the S&P 500 benchmark which had an annualized return of 9.99%.


PeriodReturnBenchmark
1 month-0.18%0.33%
6 months7.41%11.48%
Year-To-Date-1.28%14.66%
1 year6.23%16.16%
5 years (annualized)5.21%8.51%
10 years (annualized)11.49%9.99%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-4.04%0.43%2.39%-4.83%6.88%1.73%0.31%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor ETF (MTUM) and S&P 500 (^GSPC). 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.27
^GSPC
S&P 500
0.74

Sharpe Ratio

The current iShares Edge MSCI USA Momentum Factor ETF Sharpe ratio is 0.27. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.27
0.74
MTUM (iShares Edge MSCI USA Momentum Factor ETF)
Benchmark (^GSPC)

Dividend History

iShares Edge MSCI USA Momentum Factor ETF granted a 2.25% dividend yield in the last twelve months. The annual payout for that period amounted to $3.21 per share.


PeriodTTM2022202120202019201820172016201520142013
Dividend$3.21$2.62$1.00$1.34$1.85$1.27$1.05$1.08$0.82$0.71$0.61

Dividend yield

2.25%1.81%0.56%0.86%1.54%1.35%1.09%1.55%1.23%1.16%1.15%

Monthly Dividends

The table displays the monthly dividend distributions for iShares Edge MSCI USA Momentum Factor ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDec
2023$0.00$0.00$0.80$0.00$0.00$0.54$0.00$0.00
2022$0.00$0.00$0.38$0.00$0.00$0.37$0.00$0.00$1.03$0.00$0.00$0.84
2021$0.00$0.00$0.09$0.00$0.00$0.13$0.00$0.00$0.33$0.00$0.00$0.44
2020$0.00$0.00$0.45$0.00$0.00$0.35$0.00$0.00$0.24$0.00$0.00$0.31
2019$0.00$0.00$0.47$0.00$0.00$0.45$0.00$0.00$0.42$0.00$0.00$0.50
2018$0.00$0.00$0.27$0.00$0.00$0.34$0.00$0.00$0.26$0.00$0.00$0.40
2017$0.00$0.00$0.24$0.00$0.00$0.24$0.00$0.00$0.27$0.00$0.00$0.31
2016$0.00$0.00$0.19$0.00$0.00$0.21$0.00$0.00$0.29$0.00$0.00$0.39
2015$0.00$0.00$0.21$0.00$0.00$0.23$0.00$0.00$0.18$0.00$0.00$0.20
2014$0.00$0.00$0.10$0.00$0.00$0.20$0.00$0.00$0.17$0.00$0.00$0.24
2013$0.20$0.00$0.00$0.20$0.00$0.00$0.21

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-24.09%
-8.22%
MTUM (iShares Edge MSCI USA Momentum Factor ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below shows the maximum drawdowns of the iShares Edge MSCI USA Momentum Factor ETF. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the iShares Edge MSCI USA Momentum Factor ETF is 34.08%, recorded on Mar 23, 2020. It took 72 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.08%Feb 20, 202023Mar 23, 202072Jul 6, 202095
-32.28%Nov 4, 2021156Jun 17, 2022
-22.12%Oct 2, 201858Dec 24, 2018120Jun 18, 2019178
-15.75%Feb 16, 202115Mar 8, 2021105Aug 5, 2021120
-12.95%Dec 30, 201527Feb 8, 201664May 10, 201691

Volatility Chart

The current iShares Edge MSCI USA Momentum Factor ETF volatility is 4.06%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
4.06%
3.47%
MTUM (iShares Edge MSCI USA Momentum Factor ETF)
Benchmark (^GSPC)

Alternatives


SymbolInceptionExpense RatioYTD Ret.10Y Ann. Ret.Div. YieldMax. DrawdownSharpe RatioSortino ratioOmega ratioCalmar ratioUlcer Index
QQQMar 10, 19990.20%37.5%17.6%0.6%-83.0%1.12.01.22.34.3%