MTUM vs. QUAL
Compare and contrast key facts about iShares Edge MSCI USA Momentum Factor ETF (MTUM) and iShares Edge MSCI USA Quality Factor ETF (QUAL).
MTUM and QUAL are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum Index. It was launched on Apr 16, 2013. QUAL is a passively managed fund by iShares that tracks the performance of the MSCI USA Quality Index. It was launched on Jul 16, 2013. Both MTUM and QUAL are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MTUM or QUAL.
Performance
MTUM vs. QUAL - Performance Comparison
Returns By Period
In the year-to-date period, MTUM achieves a 35.43% return, which is significantly higher than QUAL's 23.85% return. Both investments have delivered pretty close results over the past 10 years, with MTUM having a 13.45% annualized return and QUAL not far behind at 13.09%.
MTUM
35.43%
1.39%
12.47%
41.04%
12.96%
13.45%
QUAL
23.85%
-0.59%
9.70%
29.94%
14.89%
13.09%
Key characteristics
| MTUM | QUAL | |
|---|---|---|
| Sharpe Ratio | 2.20 | 2.36 |
| Sortino Ratio | 2.98 | 3.26 |
| Omega Ratio | 1.39 | 1.43 |
| Calmar Ratio | 1.90 | 3.89 |
| Martin Ratio | 12.74 | 14.73 |
| Ulcer Index | 3.18% | 2.02% |
| Daily Std Dev | 18.44% | 12.58% |
| Max Drawdown | -34.08% | -34.06% |
| Current Drawdown | -1.05% | -1.91% |
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MTUM vs. QUAL - Expense Ratio Comparison
Both MTUM and QUAL 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%.
Correlation
The correlation between MTUM and QUAL is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
MTUM vs. QUAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Momentum Factor ETF (MTUM) and iShares Edge MSCI USA Quality Factor ETF (QUAL). 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.
Dividends
MTUM vs. QUAL - Dividend Comparison
MTUM's dividend yield for the trailing twelve months is around 0.55%, less than QUAL's 1.00% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.55% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% | 1.02% |
QUAL iShares Edge MSCI USA Quality Factor ETF | 1.00% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% | 0.63% |
Drawdowns
MTUM vs. QUAL - Drawdown Comparison
The maximum MTUM drawdown since its inception was -34.08%, roughly equal to the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for MTUM and QUAL. For additional features, visit the drawdowns tool.
Volatility
MTUM vs. QUAL - Volatility Comparison
iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 4.14% compared to iShares Edge MSCI USA Quality Factor ETF (QUAL) at 3.79%. This indicates that MTUM's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.