Data Source: from January 1982 to December 2022 (~41 years)
Consolidated Returns as of 31 December 2022
Live Update: Jan 27 2023
Category: Stocks
ETF: iShares Edge MSCI USA Momentum Fctr (MTUM)
ETF • LIVE PERFORMANCE (USD currency)
1.18%
1 Day
Jan 27 2023
0.95%
Current Month
January 2023

In the last 30 Years, the iShares Edge MSCI USA Momentum Fctr (MTUM) ETF obtained a 12.26% compound annual return, with a 15.09% standard deviation.

In 2022, the ETF granted a 1.45% dividend yield. If you are interested in getting periodic income, please refer to the iShares Edge MSCI USA Momentum Fctr (MTUM) ETF: Dividend Yield page.

The ETF is related to the following investment themes:

  • Asset Class: Equity
  • Size: Large Cap
  • Style: Growth
  • Region: North America
  • Country: U.S.

The iShares Edge MSCI USA Momentum Fctr (MTUM) ETF is part of the following Lazy Portfolios:

Portfolio Name Author MTUM Weight
Robust Alpha Architect 30.00%
US Stocks Momentum 100.00%
Stocks/Bonds 60/40 Momentum 60.00%
Stocks/Bonds 40/60 Momentum 40.00%
Stocks/Bonds 80/20 Momentum 80.00%
Stocks/Bonds 20/80 Momentum 20.00%

Historical Returns as of Dec 31, 2022

Historical returns and Metrics of iShares Edge MSCI USA Momentum Fctr (MTUM) ETF.

Returns and metrics are calculated based on monthly returns, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends

ETF Returns, up to December 2013, are retrieved using the historical series of equivalent ETFs / Assets.
ISHARES EDGE MSCI USA MOMENTUM FCTR (MTUM) ETF
Portfolio Metrics
Data Source: 1 January 1982 - 31 December 2022 (~41 years)
Swipe left to see all data
Metrics as of Dec 31, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~41Y)
Portfolio
Return (%)
-3.93 11.88 8.46 -18.26 6.36 8.53 13.83 11.16 12.26 13.49
US Inflation (%) -0.31 0.00 0.16 6.45 4.92 3.78 2.60 2.51 2.49 2.84
Infl. Adjusted
Return (%)
-3.63 11.88 8.28 -23.21 1.37 4.58 10.95 8.44 9.54 10.35
Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 23.23 21.67 18.96 15.10 15.02 15.09 15.35
Sharpe Ratio -0.85 0.27 0.39 0.88 0.67 0.67 0.62
Sortino Ratio -1.28 0.37 0.54 1.18 0.88 0.88 0.82
MAXIMUM DRAWDOWN
Drawdown Depth (%) -26.94 -30.16 -30.16 -30.16 -53.85 -53.85 -53.85
Start (yyyy mm) 2022 01 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Bottom (yyyy mm) 2022 09 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Start to Bottom (# months) 9 11 11 11 16 16 16
Start to Recovery (# months) in progress
> 12
> 14
> 14
> 14
63
63
63
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 59.99 42.50 39.50 24.93 17.82 14.18
Worst Return (%) -47.72 -15.43 -3.82 -0.39 6.83 12.00
% Positive Periods 82% 87% 95% 99% 100% 100%
MONTHS
Positive 0 2 3 4 18 35 74 152 228 314
Negative 1 1 3 8 18 25 46 88 132 178
% Positive 0% 67% 50% 33% 50% 58% 62% 63% 63% 64%
WITHDRAWAL RATES (WR)
Safe WR (%) 40.91 25.91 21.10 10.86 13.06 13.56
Perpetual WR (%) 1.36 4.38 9.87 7.78 8.71 9.38
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the ETF
  • Standard Deviation: it's a measure of the dispersion of returns around the mean
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the ETF. It's calculated by dividing the excess return of the ETF over the risk-free rate by the ETF standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the ETF. It's a modification of the Sharpe Ratio (same formula but the denominator is the ETF downside standard deviation).
  • Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).

Correlations as of Dec 31, 2022

Monthly correlations of iShares Edge MSCI USA Momentum Fctr (MTUM) ETF vs the main Asset Classes, over different timeframes.

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1.

If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.

Asset correlations are calculated based on monthly returns.

Columns are sortable (click on table header to sort).

ISHARES EDGE MSCI USA MOMENTUM FCTR (MTUM) ETF
Monthly correlations as of 31 December 2022
Swipe left to see all data
Correlation vs MTUM
 
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
US Total Stock Market
VTI
0.92
0.92
0.91
0.95
0.95
US Large Cap
SPY
0.91
0.91
0.90
0.96
0.96
US Small Cap
IJR
0.89
0.81
0.75
0.77
0.77
US REITs
VNQ
0.76
0.70
0.63
0.56
0.56
US Technology
QQQ
0.87
0.91
0.90
0.82
0.82
Preferred Stocks
PFF
0.60
0.68
0.65
0.43
0.43
EAFE Stocks
EFA
0.75
0.78
0.77
0.78
0.77
World All Countries
VT
0.87
0.89
0.87
0.91
0.90
Emerging Markets
EEM
0.38
0.61
0.58
0.68
0.67
Europe
VGK
0.75
0.78
0.76
0.80
0.79
Pacific
VPL
0.69
0.74
0.71
0.65
0.63
Latin America
FLLA
0.64
0.47
0.43
0.59
0.59
US Total Bond Market
BND
0.51
0.40
0.34
0.16
0.16
Long Term Treasuries
TLT
0.35
0.08
0.05
-0.10
-0.10
US Cash
BIL
0.21
-0.13
-0.12
0.02
0.02
TIPS
TIP
0.60
0.54
0.42
0.21
0.21
Invest. Grade Bonds
LQD
0.61
0.57
0.51
0.31
0.31
High Yield Bonds
HYG
0.75
0.72
0.68
0.63
0.63
International Bonds
BNDX
0.61
0.40
0.36
0.14
0.14
Emerg. Market Bonds
EMB
0.63
0.64
0.58
0.53
0.53
Gold
GLD
0.16
0.20
0.10
0.05
0.05
Commodities
DBC
0.16
0.44
0.34
0.31
0.31

Capital Growth as of Dec 31, 2022

Capital growth, returns, stats are calculated assuming a reinvestment of dividends.

If you are interested in getting periodic income, please refer to the iShares Edge MSCI USA Momentum Fctr (MTUM) ETF: Dividend Yield page.

An investment of 1000$, since January 1993, now would be worth 32144.45$, with a total return of 3114.45% (12.26% annualized).

The Inflation Adjusted Capital now would be 15368.41$, with a net total return of 1436.84% (9.54% annualized).
An investment of 1000$, since January 1982, now would be worth 179103.49$, with a total return of 17810.35% (13.49% annualized).

The Inflation Adjusted Capital now would be 56724.73$, with a net total return of 5572.47% (10.35% annualized).

Drawdowns

Worst drawdowns since January 1993.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-53.85% Nov 2007 Feb 2009 16 Jan 2013 47 63
-43.19% Sep 2000 Sep 2002 25 Jul 2005 34 59
-30.16% Nov 2021 Sep 2022 11 in progress 3 14
-17.90% Feb 2020 Mar 2020 2 Jun 2020 3 5
-15.44% Oct 2018 Dec 2018 3 Jun 2019 6 9
-11.51% Aug 1998 Aug 1998 1 Oct 1998 2 3
-7.82% Sep 2020 Oct 2020 2 Nov 2020 1 3
-7.78% Aug 2015 Sep 2015 2 May 2016 8 10
-7.23% Feb 1994 Jun 1994 5 Feb 1995 8 13
-6.40% Jan 2000 Feb 2000 2 Mar 2000 1 3
-5.01% Apr 2000 May 2000 2 Aug 2000 3 5
-4.89% Aug 1997 Aug 1997 1 Nov 1997 3 4
-4.85% Feb 2018 Mar 2018 2 Jul 2018 4 6
-4.38% Mar 2014 Apr 2014 2 Jun 2014 2 4
-4.13% Mar 1997 Mar 1997 1 Apr 1997 1 2
-3.81% Jul 1996 Jul 1996 1 Sep 1996 2 3
-3.64% May 2006 Jun 2006 2 Sep 2006 3 5
-3.50% Aug 2016 Nov 2016 4 Jan 2017 2 6
-3.47% Sep 2021 Sep 2021 1 Oct 2021 1 2
-2.81% Aug 2013 Aug 2013 1 Sep 2013 1 2

Worst drawdowns since January 1982.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-53.85% Nov 2007 Feb 2009 16 Jan 2013 47 63
-43.19% Sep 2000 Sep 2002 25 Jul 2005 34 59
-30.55% Sep 1987 Nov 1987 3 Jul 1989 20 23
-30.16% Nov 2021 Sep 2022 11 in progress 3 14
-17.90% Feb 2020 Mar 2020 2 Jun 2020 3 5
-15.44% Oct 2018 Dec 2018 3 Jun 2019 6 9
-12.56% Jun 1990 Sep 1990 4 Jan 1991 4 8
-12.00% Jul 1983 Jul 1984 13 Jan 1985 6 19
-11.51% Aug 1998 Aug 1998 1 Oct 1998 2 3
-7.82% Sep 2020 Oct 2020 2 Nov 2020 1 3
-7.79% Sep 1986 Sep 1986 1 Nov 1986 2 3
-7.78% Aug 2015 Sep 2015 2 May 2016 8 10
-7.23% Feb 1994 Jun 1994 5 Feb 1995 8 13
-6.40% Jan 2000 Feb 2000 2 Mar 2000 1 3
-6.32% Jan 1990 Jan 1990 1 May 1990 4 5
-5.32% Jul 1986 Jul 1986 1 Aug 1986 1 2
-5.01% Apr 2000 May 2000 2 Aug 2000 3 5
-4.93% Jan 1982 Feb 1982 2 Aug 1982 6 8
-4.89% Aug 1997 Aug 1997 1 Nov 1997 3 4
-4.85% Feb 2018 Mar 2018 2 Jul 2018 4 6

Rolling Returns ( more details)

iShares Edge MSCI USA Momentum Fctr (MTUM) ETF: annualized rolling and average returns

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
15.46 59.99
Jul 1982 - Jun 1983
-47.72
Mar 2008 - Feb 2009
17.88%
2 Years
14.72 46.81
Apr 1997 - Mar 1999
-25.84
Mar 2007 - Feb 2009
12.37%
3 Years
14.45 42.50
Aug 1996 - Jul 1999
-15.43
Mar 2006 - Feb 2009
12.91%
5 Years
14.06 39.50
Jan 1995 - Dec 1999
-3.82
Mar 2004 - Feb 2009
4.62%
7 Years
13.71 28.91
Jan 1993 - Dec 1999
-0.57
Mar 2002 - Feb 2009
0.49%
10 Years
13.48 24.93
Sep 1990 - Aug 2000
-0.39
Mar 1999 - Feb 2009
1.07%
15 Years
13.01 22.80
Jan 1985 - Dec 1999
5.61
Sep 2000 - Aug 2015
0.00%
20 Years
12.49 17.82
Apr 1982 - Mar 2002
6.83
Apr 2000 - Mar 2020
0.00%
30 Years
13.22 14.18
Sep 1988 - Aug 2018
12.00
Oct 1992 - Sep 2022
0.00%
(*) Annualized rolling and average returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the iShares Edge MSCI USA Momentum Fctr (MTUM) ETF: Rolling Returns page.

Seasonality

iShares Edge MSCI USA Momentum Fctr (MTUM) ETF: in which months is it better to invest?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.

For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
2.20
80%
-1.70
20%
-1.86
40%
1.77
80%
1.09
40%
1.17
60%
3.33
100%
3.55
80%
-2.69
20%
1.55
60%
2.97
80%
-1.36
40%
 Capital Growth on monthly avg returns
100
102.20
100.46
98.59
100.33
101.43
102.61
106.03
109.79
106.84
108.50
111.72
110.21
Best 8.2
2018
3.4
2019
4.8
2022
11.7
2020
5.9
2020
6.1
2019
7.0
2020
9.5
2020
0.9
2018
12.5
2022
10.6
2020
3.4
2020
Worst -9.0
2022
-7.2
2020
-11.5
2020
-12.7
2022
-2.2
2019
-6.4
2022
0.9
2021
-2.0
2022
-5.9
2022
-9.9
2018
-3.9
2021
-7.5
2018
Monthly Seasonality over the period Jan 2018 - Dec 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.26
60%
0.76
50%
-0.24
50%
1.08
60%
2.26
70%
0.97
60%
3.09
90%
1.35
60%
-0.94
40%
2.52
70%
2.44
80%
-0.38
50%
 Capital Growth on monthly avg returns
100
101.26
102.03
101.78
102.89
105.21
106.24
109.51
110.99
109.95
112.72
115.47
115.03
Best 8.2
2018
6.7
2014
5.3
2016
11.7
2020
5.9
2020
6.1
2019
7.0
2020
9.5
2020
3.3
2013
12.5
2022
10.6
2020
3.4
2020
Worst -9.0
2022
-7.2
2020
-11.5
2020
-12.7
2022
-2.2
2019
-6.4
2022
-1.0
2014
-6.0
2015
-5.9
2022
-9.9
2018
-3.9
2021
-7.5
2018
Monthly Seasonality over the period Jan 2013 - Dec 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.49
63%
0.64
59%
1.23
68%
1.86
66%
1.57
66%
0.57
59%
1.31
59%
0.99
68%
-0.47
49%
1.44
66%
1.77
71%
1.51
73%
 Capital Growth on monthly avg returns
100
101.49
102.15
103.40
105.32
106.98
107.58
108.99
110.07
109.56
111.13
113.10
114.81
Best 13.1
1987
8.4
1998
9.7
2000
11.7
2020
10.0
1990
6.6
1999
9.4
1989
12.5
1982
9.0
2010
12.5
2022
10.6
2020
11.3
1991
Worst -9.0
2022
-11.7
2009
-11.5
2020
-12.7
2022
-7.6
2010
-8.9
2008
-6.6
2002
-11.5
1998
-10.1
2008
-22.2
1987
-8.5
1987
-7.5
2018
Monthly Seasonality over the period Jan 1982 - Dec 2022

Monthly/Yearly Returns

iShares Edge MSCI USA Momentum Fctr (MTUM) ETF data source starts from January 1982: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1982 - Dec 2022
314 Positive Months (64%) - 178 Negative Months (36%)
MONTHLY RETURNS TABLE
Jan 1982 - Dec 2022
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2022
-18.26 -23.21 -9.0 -2.7 4.8 -12.7 -0.6 -6.4 5.2 -2.0 -5.9 12.5 3.5 -3.9
2021
+13.37 +5.91 1.6 -0.6 -1.2 7.1 -1.1 1.9 0.9 4.1 -3.5 8.6 -3.9 -0.5
2020
+29.85 +28.10 3.7 -7.2 -11.5 11.7 5.9 4.3 7.0 9.5 -3.8 -4.2 10.6 3.4
2019
+27.26 +24.41 6.5 3.4 2.1 2.3 -2.2 6.1 1.8 0.3 -1.1 0.6 3.3 1.7
2018
-1.66 -3.50 8.2 -1.5 -3.4 0.5 3.4 -0.1 1.8 5.9 0.9 -9.9 1.4 -7.5
2017
+37.50 +34.66 3.2 3.8 2.1 2.6 4.8 0.3 3.5 1.5 2.8 5.0 2.8 0.1
2016
+5.00 +2.87 -3.8 -1.3 5.3 -0.6 2.5 3.0 2.7 -1.5 0.5 -1.9 -0.6 1.1
2015
+8.93 +8.14 -0.7 5.4 -1.0 -1.0 3.4 -0.3 3.8 -6.0 -1.9 7.3 0.5 -0.1
2014
+14.61 +13.75 -2.3 6.7 -3.4 -1.0 4.1 2.1 -1.0 4.6 -0.7 2.3 3.8 -0.8
2013
+34.58 +32.59 5.3 1.5 4.0 2.1 2.5 -1.2 5.3 -2.8 3.3 4.7 3.1 2.7
2012
+14.94 +12.97 4.6 4.3 3.1 -0.8 -6.1 4.0 1.1 2.4 2.5 -1.9 0.5 0.8
2011
+5.93 +2.89 2.7 3.8 0.3 3.2 -0.8 -1.4 -1.7 -5.1 -6.4 10.9 -0.1 1.3
2010
+18.02 +16.28 -3.4 3.4 6.3 1.8 -7.6 -4.9 7.0 -4.2 9.0 4.0 0.2 6.7
2009
+17.45 +14.33 -9.0 -11.7 7.6 9.3 5.2 -0.8 7.1 3.2 3.1 -2.7 5.9 1.4
2008
-40.96 -41.02 -6.4 -3.0 -1.3 4.4 1.2 -8.9 -1.3 1.2 -10.1 -17.6 -7.9 0.5
2007
+17.64 +13.03 2.6 -0.9 2.2 5.3 4.2 -0.5 -2.0 2.1 4.5 2.1 -2.7 -0.1
2006
+10.56 +7.82 2.0 0.1 1.2 0.9 -3.5 -0.2 0.0 1.8 2.4 2.9 1.7 1.0
2005
+19.14 +15.20 -1.1 3.3 -0.6 -0.6 4.3 1.3 4.7 0.2 1.8 -1.1 5.0 0.8
2004
+16.70 +13.02 2.5 1.8 -0.8 -1.4 2.2 2.3 -2.7 0.7 1.4 1.7 4.7 3.3
2003
+25.99 +23.67 -2.6 -1.5 0.0 8.3 5.4 0.9 1.7 1.9 -1.3 5.3 1.0 5.0
2002
-12.28 -14.32 -0.2 -1.0 4.1 -4.9 0.2 -6.3 -6.6 1.5 -8.9 8.5 6.5 -4.3
2001
-17.35 -18.61 4.0 -10.0 -6.2 8.2 -1.1 -2.9 -1.6 -6.7 -9.1 0.8 7.7 0.0
2000
-9.61 -12.57 -5.0 -1.5 9.7 -3.5 -1.6 2.0 -1.6 6.5 -5.5 -0.5 -7.5 -0.5
1999
+40.42 +36.75 5.2 -1.6 5.6 5.2 -0.7 6.6 -1.5 0.9 -0.6 7.0 2.8 6.2
1998
+48.76 +46.40 3.0 8.4 6.2 2.6 -0.6 5.4 0.1 -11.5 7.1 8.5 6.1 6.9
1997
+36.86 +34.57 6.5 1.2 -4.1 6.5 6.5 4.3 8.1 -4.9 5.0 -2.2 4.0 2.1
1996
+29.83 +25.65 4.2 0.9 2.3 1.6 2.8 1.4 -3.8 2.4 5.9 3.6 7.4 -1.8
1995
+42.32 +38.80 3.7 4.4 3.1 3.3 4.2 2.3 3.5 0.7 4.4 0.0 4.6 1.8
1994
-1.09 -3.66 3.4 -3.0 -4.3 1.0 1.5 -2.4 3.1 3.7 -2.7 2.8 -4.2 0.6
1993
+13.22 +10.20 1.1 1.6 2.4 -2.1 2.9 0.5 -0.2 4.0 -0.5 2.3 -0.7 1.4
1992
+4.32 +1.38 -2.1 1.0 -2.2 2.7 0.2 -1.8 3.8 -2.4 0.9 0.1 3.2 1.0
1991
+36.90 +32.83 4.9 7.6 2.9 0.7 4.7 -4.0 5.0 2.7 -1.2 1.7 -3.4 11.3
1990
+1.49 -4.35 -6.3 1.7 3.0 -2.1 10.0 -0.3 0.0 -8.4 -4.3 0.0 6.6 3.0
1989
+42.76 +36.42 8.3 -1.6 3.1 5.9 4.7 0.2 9.4 2.5 0.3 -1.5 2.6 2.9
1988
+7.07 +2.54 3.4 3.9 -3.8 0.3 0.1 4.0 -1.1 -4.3 3.8 2.2 -2.3 1.2
1987
+2.34 -2.00 13.1 3.8 2.7 -1.2 0.9 4.9 4.8 3.7 -2.5 -22.2 -8.5 7.5
1986
+22.70 +21.37 0.8 7.9 5.8 -1.0 5.7 2.0 -5.3 7.6 -7.8 5.8 2.8 -2.2
1985
+32.38 +27.54 7.7 1.5 0.1 -0.2 6.1 1.5 -0.1 -0.6 -3.0 4.5 7.0 4.7
1984
-0.83 -4.59 -1.1 -3.9 1.0 0.1 -6.1 1.6 -2.2 11.1 -0.6 -0.3 -1.7 2.2
1983
+16.95 +12.68 3.1 2.1 3.2 7.3 -1.2 3.5 -3.6 1.6 1.0 -1.8 2.0 -1.0
1982
+30.44 +25.63 -0.7 -4.3 0.2 4.9 -2.0 -0.7 -1.3 12.5 1.7 11.1 4.6 2.2

ETF Returns, up to December 2013, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets.

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