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QUAL vs. MTUM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QUAL and MTUM is 0.86, 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.


-0.50.00.51.0
Correlation: 0.9

Performance

QUAL vs. MTUM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Edge MSCI USA Quality Factor ETF (QUAL) and iShares Edge MSCI USA Momentum Factor ETF (MTUM). The values are adjusted to include any dividend payments, if applicable.

260.00%280.00%300.00%320.00%340.00%360.00%380.00%NovemberDecember2025FebruaryMarchApril
302.01%
340.63%
QUAL
MTUM

Key characteristics

Sharpe Ratio

QUAL:

0.41

MTUM:

0.66

Sortino Ratio

QUAL:

0.70

MTUM:

1.05

Omega Ratio

QUAL:

1.10

MTUM:

1.15

Calmar Ratio

QUAL:

0.42

MTUM:

0.79

Martin Ratio

QUAL:

1.69

MTUM:

2.79

Ulcer Index

QUAL:

4.43%

MTUM:

5.94%

Daily Std Dev

QUAL:

18.23%

MTUM:

24.99%

Max Drawdown

QUAL:

-34.06%

MTUM:

-34.08%

Current Drawdown

QUAL:

-9.76%

MTUM:

-9.65%

Returns By Period

In the year-to-date period, QUAL achieves a -5.60% return, which is significantly lower than MTUM's 0.20% return. Over the past 10 years, QUAL has underperformed MTUM with an annualized return of 11.98%, while MTUM has yielded a comparatively higher 12.91% annualized return.


QUAL

YTD

-5.60%

1M

-1.11%

6M

-6.20%

1Y

6.55%

5Y*

14.85%

10Y*

11.98%

MTUM

YTD

0.20%

1M

2.95%

6M

1.12%

1Y

16.16%

5Y*

13.33%

10Y*

12.91%

*Annualized

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QUAL vs. MTUM - Expense Ratio Comparison

Both QUAL and MTUM 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%.


Expense ratio chart for QUAL: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
QUAL: 0.15%
Expense ratio chart for MTUM: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
MTUM: 0.15%

Risk-Adjusted Performance

QUAL vs. MTUM — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QUAL
The Risk-Adjusted Performance Rank of QUAL is 5454
Overall Rank
The Sharpe Ratio Rank of QUAL is 5252
Sharpe Ratio Rank
The Sortino Ratio Rank of QUAL is 5353
Sortino Ratio Rank
The Omega Ratio Rank of QUAL is 5353
Omega Ratio Rank
The Calmar Ratio Rank of QUAL is 5757
Calmar Ratio Rank
The Martin Ratio Rank of QUAL is 5656
Martin Ratio Rank

MTUM
The Risk-Adjusted Performance Rank of MTUM is 7171
Overall Rank
The Sharpe Ratio Rank of MTUM is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of MTUM is 6969
Sortino Ratio Rank
The Omega Ratio Rank of MTUM is 6969
Omega Ratio Rank
The Calmar Ratio Rank of MTUM is 7878
Calmar Ratio Rank
The Martin Ratio Rank of MTUM is 7171
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

QUAL vs. MTUM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI USA Quality Factor ETF (QUAL) and iShares Edge MSCI USA Momentum Factor ETF (MTUM). 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.


The chart of Sharpe ratio for QUAL, currently valued at 0.41, compared to the broader market-1.000.001.002.003.004.00
QUAL: 0.41
MTUM: 0.66
The chart of Sortino ratio for QUAL, currently valued at 0.70, compared to the broader market-2.000.002.004.006.008.00
QUAL: 0.70
MTUM: 1.05
The chart of Omega ratio for QUAL, currently valued at 1.10, compared to the broader market0.501.001.502.002.50
QUAL: 1.10
MTUM: 1.15
The chart of Calmar ratio for QUAL, currently valued at 0.42, compared to the broader market0.002.004.006.008.0010.0012.00
QUAL: 0.42
MTUM: 0.79
The chart of Martin ratio for QUAL, currently valued at 1.69, compared to the broader market0.0020.0040.0060.00
QUAL: 1.69
MTUM: 2.79

The current QUAL Sharpe Ratio is 0.41, which is lower than the MTUM Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of QUAL and MTUM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.41
0.66
QUAL
MTUM

Dividends

QUAL vs. MTUM - Dividend Comparison

QUAL's dividend yield for the trailing twelve months is around 1.09%, more than MTUM's 0.93% yield.


TTM20242023202220212020201920182017201620152014
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.09%1.02%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.93%0.75%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%

Drawdowns

QUAL vs. MTUM - Drawdown Comparison

The maximum QUAL drawdown since its inception was -34.06%, roughly equal to the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for QUAL and MTUM. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.76%
-9.65%
QUAL
MTUM

Volatility

QUAL vs. MTUM - Volatility Comparison

The current volatility for iShares Edge MSCI USA Quality Factor ETF (QUAL) is 13.08%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 15.89%. This indicates that QUAL experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
13.08%
15.89%
QUAL
MTUM