iShares Edge MSCI USA Momentum Fctr (MTUM): Historical Returns

Simulation Settings
Category: Stocks
Period: January 1982 - November 2024 (~43 years)
Consolidated Returns as of 30 November 2024
Live Update available for December 2024
Currency: USD
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1.00$
Initial Capital
December 1994
43.68$
Final Capital
November 2024
13.42%
Yearly Return
15.42
Std Deviation
-53.85%
Max Drawdown
63months
Recovery Period
1.00$
Initial Capital
January 1982
270.90$
Final Capital
November 2024
13.94%
Yearly Return
15.35
Std Deviation
-53.85%
Max Drawdown
63months
Recovery Period
Live update: December 2024 (USD)
-0.77%
1 day - Dec 02 2024, 11:00AM Eastern Time
-0.77%
Month - December 2024

The iShares Edge MSCI USA Momentum Fctr (MTUM) ETF covers to the following investment themes:

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

As of November 2024, in the previous 30 Years, the iShares Edge MSCI USA Momentum Fctr (MTUM) ETF obtained a 13.42% compound annual return, with a 15.42% standard deviation. It suffered a maximum drawdown of -53.85% that required 63 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the ETFs/Assets issuers. Content is for informational, educational, illustrative and entertainment purposes only.

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

Portfolio Name Author MTUM Weight Currency
US Stocks Momentum 100.00% USD
Stocks/Bonds 80/20 Momentum 80.00% USD
Stocks/Bonds 60/40 Momentum 60.00% USD
Stocks/Bonds 40/60 Momentum 40.00% USD
Robust Alpha Architect 30.00% USD
Stocks/Bonds 20/80 Momentum 20.00% USD
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Investment Returns as of Nov 30, 2024

The iShares Edge MSCI USA Momentum Fctr (MTUM) ETF guaranteed the following returns.

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
  • the actual US Inflation rates.
ISHARES EDGE MSCI USA MOMENTUM FCTR (MTUM) ETF
1 January 1982 - 30 November 2024 (~43 years)
Live Update: December 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Nov 30, 2024
  1 Day Time ET(*) Dec 2024 YTD
(11M)
1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
Investment Return -0.77 -0.77 38.57 6.97 16.41 45.16 13.10 13.52 13.42 13.94
US Inflation Adjusted Return 35.62 6.97 15.58 41.74 8.63 10.32 10.64 10.78
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
The live monthly return is calculated by assuming, for each asset, the weight defined by the base asset allocation.
US Inflation is updated to Oct 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Inflation (annualized) is 1Y: 2.41% , 5Y: 4.11% , 10Y: 2.90% , 30Y: 2.51%

In 2023, the iShares Edge MSCI USA Momentum Fctr (MTUM) ETF granted a 1.46% 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.

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Capital Growth as of Nov 30, 2024

An investment of 1$, from December 1994 to November 2024, would be worth 43.68$, with a total return of 4267.76% (13.42% annualized).

The Inflation Adjusted Capital would be 20.74$, with a net total return of 1974.12% (10.64% annualized).

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An investment of 1$, from January 1982 to November 2024, would be worth 270.90$, with a total return of 26989.99% (13.94% annualized).

The Inflation Adjusted Capital would be 80.81$, with a net total return of 7980.95% (10.78% annualized).

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Investment Metrics as of Nov 30, 2024

Metrics of iShares Edge MSCI USA Momentum Fctr (MTUM) ETF, updated as of 30 November 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
  • the actual US Inflation rates.
ISHARES EDGE MSCI USA MOMENTUM FCTR (MTUM) ETF
Advanced Metrics
1 January 1982 - 30 November 2024 (~43 years)
Swipe left to see all data
Metrics as of Nov 30, 2024
YTD
(11M)
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~43Y)
Investment Return (%)
38.57 6.97 9.94 16.41 45.16 7.16 13.10 13.52 11.49 13.42 13.94
Growth of 1$ 1.39 1.07 1.10 1.16 1.45 1.23 1.85 3.55 8.81 43.68 270.90
Infl. Adjusted Return (%)
35.62 6.97 9.48 15.58 41.74 2.83 8.63 10.32 8.75 10.64 10.78
US Inflation (%) 2.17 0.00 0.42 0.71 2.41 4.20 4.11 2.90 2.52 2.51 2.86
Pending updates, the monthly inflation of Nov 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
Current 1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) 0.00 -5.47 -27.29 -30.16 -30.16 -53.85 -53.85 -53.85
Start to Recovery (# months)
3 27 29 29 63 63 63
Start (yyyy mm) 2024 04 2021 12 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 1 10 11 11 16 16 16
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 17 18 18 47 47 47
End (yyyy mm) 2024 06 2024 02 2024 03 2024 03 2013 01 2013 01 2013 01
Longest Drawdown Depth (%)
same

same

same

same

same

same

same
Start to Recovery (# months)
Start (yyyy mm) 2024 04 2021 12 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 1 10 11 11 16 16 16
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 17 18 18 47 47 47
End (yyyy mm) 2024 06 2024 02 2024 03 2024 03 2013 01 2013 01 2013 01
Longest negative period (# months)
2 26 38 38 68 126 126
Start (yyyy mm) 2024 03 2021 12 2020 09 2020 09 2006 02 2000 01 2000 01
End (yyyy mm) 2024 04 2024 01 2023 10 2023 10 2011 09 2010 06 2010 06
Annualized Return (%) -15.22 -2.93 -2.19 -2.19 -0.27 -0.16 -0.16
Deepest Drawdown Depth (%) 0.00 -5.76 -31.59 -34.85 -34.85 -54.61 -54.61 -54.61
Start to Recovery (# months)
3 34 37 37 67 67 67
Start (yyyy mm) 2024 04 2021 12 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 1 10 11 11 16 16 16
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 24 26 26 51 51 51
End (yyyy mm) 2024 06 2024 09 2024 11 2024 11 2013 05 2013 05 2013 05
Longest Drawdown Depth (%)
same

same

same

same

same
-45.74 -45.74
Start to Recovery (# months)
74 74
Start (yyyy mm) 2024 04 2021 12 2021 11 2021 11 2007 11 2000 09 2000 09
Start to Bottom (# months) 1 10 11 11 16 25 25
Bottom (yyyy mm) 2024 04 2022 09 2022 09 2022 09 2009 02 2002 09 2002 09
Bottom to End (# months) 2 24 26 26 51 49 49
End (yyyy mm) 2024 06 2024 09 2024 11 2024 11 2013 05 2006 10 2006 10
Longest negative period (# months)
2 33 47 50 79 147 147
Start (yyyy mm) 2024 03 2021 12 2019 12 2019 09 2005 03 1999 07 1999 07
End (yyyy mm) 2024 04 2024 08 2023 10 2023 10 2011 09 2011 09 2011 09
Annualized Return (%) -18.66 -0.24 -0.54 -0.03 -0.10 -0.22 -0.22
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 13.74 18.86 19.32 15.92 15.48 15.42 15.35
Sharpe Ratio 2.91 0.18 0.56 0.75 0.65 0.72 0.67
Sortino Ratio 3.73 0.26 0.77 1.03 0.85 0.95 0.90
Ulcer Index 1.62 15.56 14.42 10.58 15.37 16.18 14.22
Ratio: Return / Standard Deviation 3.29 0.38 0.68 0.85 0.74 0.87 0.91
Ratio: Return / Deepest Drawdown 8.26 0.26 0.43 0.45 0.21 0.25 0.26
Positive Months (%)
75.00 52.77 56.66 60.83 62.50 63.61 63.88
Positive Months 9 19 34 73 150 229 329
Negative Months 3 17 26 47 90 131 186
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 13.52 18.71 18.71 24.93
Worst 10 Years Return (%) - Annualized 7.31 -0.39 -0.39
Best 10 Years Return (%) - Annualized 10.32 16.58 16.58 21.58
Worst 10 Years Return (%) - Annualized 5.46 -2.91 -2.91
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· As of Nov 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized 59.48 42.50 39.50 18.71 13.37 13.42
Worst Rolling Return (%) - Annualized -47.72 -15.43 -3.82 -0.39 6.83
Positive Periods (%) 80.5 80.9 93.3 98.3 100.0 100.0
Best Rolling Return (%) - Annualized 55.95 39.68 36.26 16.58 10.80 10.64
Worst Rolling Return (%) - Annualized -47.72 -17.23 -6.30 -2.91 4.65
Positive Periods (%) 78.5 74.1 77.7 90.0 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
6.17 9.22 11.01 22.71 27.30 1.32 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 8.01 12.42 15.53 34.41 32.48 5.52 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
9.20 14.47 18.43 42.58 35.71 6.44 3.42 0.00
99% CVaR - Conditional Value at Risk (%) 11.13 17.81 23.16 45.37 39.15 14.28 3.84 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 69.43 22.28 14.30 7.97 5.16 14.11
Perpetual Withdrawal Rate (%) --- --- --- --- 3.08 13.43
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jan 1982 - Nov 2024)
Best Rolling Return (%) - Annualized 59.99 42.50 39.50 24.93 17.82 14.18
Worst Rolling Return (%) - Annualized -47.72 -15.43 -3.82 -0.39 6.83 11.65
Positive Periods (%) 81.7 87.0 95.6 98.9 100.0 100.0
Best Rolling Return (%) - Annualized 56.13 39.68 36.26 21.58 14.15 11.38
Worst Rolling Return (%) - Annualized -47.72 -17.23 -6.30 -2.91 4.65 8.90
Positive Periods (%) 78.9 82.0 85.3 93.9 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
6.10 9.05 10.70 18.26 24.89 0.00 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 7.94 12.23 15.20 30.08 30.31 3.76 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
9.12 14.28 18.09 40.96 32.88 5.15 1.18 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 11.04 17.60 22.80 43.66 37.14 10.37 3.11 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 69.43 22.28 14.30 7.97 5.16 8.67
Perpetual Withdrawal Rate (%) --- --- --- --- 3.08 8.09
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • 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 portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio 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 portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.
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Correlations as of Nov 30, 2024

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

The following table shows the monthly correlations of iShares Edge MSCI USA Momentum Fctr (MTUM) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

ISHARES EDGE MSCI USA MOMENTUM FCTR (MTUM) ETF
Monthly correlations as of 30 November 2024
Swipe left to see all data
Correlation vs MTUM
Asset Class 1 Year 5 Years 10 Years 30 Years
VTI
US Total Stock Market 0.84 0.90 0.89 0.94
SPY
US Large Cap Blend 0.88 0.89 0.89 0.95
IJH
US Mid Cap Blend 0.52 0.80 0.78 0.85
IJR
US Small Cap Blend 0.28 0.72 0.70 0.75
VNQ
US REITs 0.35 0.73 0.65 0.57
QQQ
US Technology 0.87 0.82 0.84 0.81
PFF
US Preferred Stocks 0.59 0.68 0.64 0.44
EFA
EAFE Stocks 0.44 0.74 0.75 0.79
VT
World All Countries 0.74 0.86 0.86 0.93
EEM
Emerging Markets 0.18 0.57 0.57 0.68
BND
US Total Bond Market 0.25 0.49 0.38 0.17
TLT
US Long Term Treasuries 0.34 0.28 0.16 -0.06
BIL
US Cash -0.09 0.05 0.04 0.04
TIP
US TIPS 0.25 0.58 0.47 0.21
LQD
US Invest. Grade Bonds 0.27 0.61 0.52 0.32
HYG
US High Yield Bonds 0.32 0.70 0.68 0.63
CWB
US Convertible Bonds 0.47 0.82 0.82 0.82
BNDX
International Bonds 0.17 0.49 0.38 0.15
EMB
Emerg. Market Bonds 0.36 0.70 0.62 0.53
GLD
Gold -0.54 0.19 0.09 0.05
DBC
Commodities -0.26 0.34 0.32 0.30
Terms and Definitions
Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Learn about historical correlations here: see how the main asset classes relate to each other.

Drawdowns

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.

ISHARES EDGE MSCI USA MOMENTUM FCTR (MTUM) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
1 December 1994 - 30 November 2024 (30 Years)
1 January 1982 - 30 November 2024 (~43 years)
Inflation Adjusted:

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Rolling Returns

For a detailed rolling return analysis, click here
iShares Edge MSCI USA Momentum Fctr (MTUM) ETF: Rolling Returns

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

ISHARES EDGE MSCI USA MOMENTUM FCTR (MTUM) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
1 December 1994 - 30 November 2024 (30 Years)
1 January 1982 - 30 November 2024 (~43 years)
Inflation Adjusted:

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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.

Seasonality

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

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from January 1982 to November 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the iShares Edge MSCI USA Momentum Fctr (MTUM) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ISHARES EDGE MSCI USA MOMENTUM FCTR (MTUM) ETF
Monthly Returns Distribution
1 December 1994 - 30 November 2024 (30 Years)
1 January 1982 - 30 November 2024 (~43 years)
229 Positive Months (64%) - 131 Negative Months (36%)
329 Positive Months (64%) - 186 Negative Months (36%)

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Methodology

Returns, up to December 2013, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

The first official book of
Build wealth
with Lazy Portfolios and Passive Investing