MTUM vs. LQD
MTUM (iShares MSCI USA Momentum Factor ETF) and LQD (iShares iBoxx $ Investment Grade Corporate Bond ETF) are both exchange-traded funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while LQD is a Corporate Bonds fund tracking the iBoxx $ Liquid Investment Grade Index. Both are passively managed. Over the past 10 years, MTUM returned 16.00%/yr vs 2.06%/yr for LQD. Their 0.15 correlation means their historical movements had little consistent relationship. Both charge a 0.15% expense ratio.
Performance
MTUM vs. LQD - Performance Comparison
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Returns By Period
In the year-to-date period, MTUM achieves a 22.65% return, which is significantly higher than LQD's -1.41% return. Over the past 10 years, MTUM has outperformed LQD with an annualized return of 16.00%, while LQD has yielded a comparatively lower 2.06% annualized return.
MTUM
- 1D
- -2.42%
- 1M
- -9.70%
- 6M
- 20.16%
- YTD
- 22.65%
- 1Y
- 27.88%
- 3Y*
- 28.98%
- 5Y*
- 13.15%
- 10Y*
- 16.00%
- ALL TIME*
- 15.84%
LQD
- 1D
- -0.03%
- 1M
- -2.65%
- 6M
- -1.99%
- YTD
- -1.41%
- 1Y
- 1.95%
- 3Y*
- 4.07%
- 5Y*
- -1.00%
- 10Y*
- 2.06%
- ALL TIME*
- 4.35%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $3.09B | $3.13B | $2.99B | |
| $620.00M | $622.73M | $495.72M |
MTUM vs. LQD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares MSCI USA Momentum Factor ETF | 22.65% | 22.15% | 32.89% | 9.15% | -18.27% | 13.36% | 29.86% | 27.25% | -1.67% | 37.50% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | -1.41% | 7.90% | 0.86% | 9.40% | -17.92% | -1.84% | 10.97% | 17.37% | -3.79% | 7.06% |
Correlation
The correlation between MTUM and LQD is 0.29, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.29 |
Correlation (3Y) Balances recent behavior with more history. | 0.24 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.23 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.21 |
Correlation (All Time) Calculated using the full available price history since Apr 18, 2013 | 0.15 |
The correlation between MTUM and LQD shifts across timeframes, from 0.15 (all time) to 0.29 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
MTUM vs. LQD — Risk / Return Rank
MTUM
LQD
MTUM vs. LQD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) and iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MTUM | LQD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.75 | ||
| Sortino ratioReturn per unit of downside risk | +1.00 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.08 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 2.31 | 0.68 | +1.63 |
| Martin ratioReturn relative to average drawdown | 7.45 | 1.76 | +5.69 |
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Drawdowns
MTUM vs. LQD - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, which is greater than LQD's maximum drawdown of -24.95%. Use the drawdown chart below to compare losses from any high point for MTUM and LQD.
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Drawdown Indicators
| MTUM | LQD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.08% | -24.95% | -9.13% |
Max Drawdown (1Y)Largest decline over 1 year | -12.49% | -3.34% | -9.15% |
Max Drawdown (3Y)Largest decline over 3 years | -20.99% | -7.87% | -13.12% |
Max Drawdown (5Y)Largest decline over 5 years | -32.28% | -24.95% | -7.33% |
Max Drawdown (10Y)Largest decline over 10 years | -34.08% | -24.95% | -9.13% |
Current DrawdownCurrent decline from peak | -11.25% | -5.51% | -5.74% |
Average DrawdownAverage peak-to-trough decline | -6.20% | -3.99% | -2.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.87% | 1.30% | +2.57% |
Volatility
MTUM vs. LQD - Volatility Comparison
iShares MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 11.65% compared to iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) at 1.28%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier than LQD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MTUM | LQD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.65% | 1.28% | +10.37% |
Volatility (6M)Calculated over the trailing 6-month period | 22.19% | 4.02% | +18.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.47% | 5.29% | +19.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.65% | 8.64% | +13.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.60% | 8.69% | +12.91% |
MTUM vs. LQD - Expense Ratio Comparison
Both MTUM and LQD 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
MTUM vs. LQD - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.60%, less than LQD's 4.65% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.65% | 4.48% | 4.45% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.60% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
Frequently Asked Questions
MTUM and LQD have a correlation of 0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MTUM has higher volatility (11.65%) compared to LQD (1.28%). In terms of maximum drawdown, MTUM dropped -34.08% vs LQD's -24.95%.
On 10-year performance, MTUM leads with 16.00% vs 2.06% for LQD. Both ETFs have the same 0.15% expense ratio. On volatility, LQD has been the lower-risk option at 1.28%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, MTUM has performed better with a 16.00% return vs 2.06%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MTUM and LQD have the same expense ratio: 0.15% per year.
LQD has the higher dividend yield at 4.65%, compared with 0.60% for MTUM.
MTUM is categorized as Momentum, while LQD is Corporate Bonds. MTUM tracks MSCI USA Momentum SR Variant Index, while LQD tracks iBoxx $ Liquid Investment Grade Index.
MTUM currently has the higher Sharpe Ratio (1.18 vs 0.43), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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