QUAL vs. MTUM
Compare and contrast key facts about iShares Edge MSCI USA Quality Factor ETF (QUAL) and iShares Edge MSCI USA Momentum Factor ETF (MTUM).
QUAL and MTUM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. 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. Both QUAL and MTUM 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: QUAL or MTUM.
Performance
QUAL vs. MTUM - Performance Comparison
Returns By Period
In the year-to-date period, QUAL achieves a 23.85% return, which is significantly lower than MTUM's 35.43% return. Both investments have delivered pretty close results over the past 10 years, with QUAL having a 13.09% annualized return and MTUM not far ahead at 13.45%.
QUAL
23.85%
-0.59%
9.70%
29.94%
14.89%
13.09%
MTUM
35.43%
1.39%
12.47%
41.04%
12.96%
13.45%
Key characteristics
| QUAL | MTUM | |
|---|---|---|
| Sharpe Ratio | 2.36 | 2.20 |
| Sortino Ratio | 3.26 | 2.98 |
| Omega Ratio | 1.43 | 1.39 |
| Calmar Ratio | 3.89 | 1.90 |
| Martin Ratio | 14.73 | 12.74 |
| Ulcer Index | 2.02% | 3.18% |
| Daily Std Dev | 12.58% | 18.44% |
| Max Drawdown | -34.06% | -34.08% |
| Current Drawdown | -1.91% | -1.05% |
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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%.
Correlation
The correlation between QUAL and MTUM 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
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.
Dividends
QUAL vs. MTUM - Dividend Comparison
QUAL's dividend yield for the trailing twelve months is around 1.00%, more than MTUM's 0.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
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.
Volatility
QUAL vs. MTUM - Volatility Comparison
The current volatility for iShares Edge MSCI USA Quality Factor ETF (QUAL) is 3.79%, while iShares Edge MSCI USA Momentum Factor ETF (MTUM) has a volatility of 4.14%. 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.