MTUM iShares MSCI USA Momentum Factor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for MTUM (iShares MSCI USA Momentum Factor ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.8% (compared to the benchmark's drawdown of -34.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 13.4%, compared to a Buy-and-Hold benchmark return of 15.7%. The strategy executed 44 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
MTUM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 35.73% | 38.25% | 9.37% | 14.28% | 15.20% | 16.94% | 13.45% | 15.73% |
| Sharpe Ratio | 1.80 | 1.73 | 0.58 | 0.65 | 0.89 | 0.74 | 0.81 | 0.71 |
| Max Drawdown | -9.28% | -11.54% | -21.77% | -32.28% | -21.77% | -34.08% | -21.77% | -34.08% |
| % Time Invested | 100.0% | 100.0% | 93.1% | 100.0% | 95.2% | 100.0% | 94.5% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 3.6 | 0.0 | 3.3 | 0.0 | 4.0 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2026-04-10 | Open | Open | 33.33% | $263.64 | $315.81 | 19.79% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $210.56 | $315.81 | 49.98% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $203.86 | $315.81 | 54.92% | Mark-to-Market |
| 2026-03-12 | 2026-04-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2026-02-25 | 2026-03-12 | Completed | 33.33% | $254.30 | $246.01 | -3.26% | Signal |
| 2026-02-02 | 2026-02-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2025-05-01 | 2026-02-02 | Completed | 33.33% | $210.56 | $255.38 | 21.28% | Signal |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-01 | 2025-04-08 | Completed | 33.33% | $199.56 | $188.80 | -5.39% | Stop |
| 2025-04-01 | 2025-04-08 | Completed | 33.33% | $199.56 | $188.80 | -5.39% | Stop |
| 2024-08-28 | 2025-04-07 | Completed | 33.33% | $192.83 | $171.94 | -10.83% | Stop |
| 2025-03-10 | 2025-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2025-03-10 | 2025-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2024-08-28 | 2025-03-10 | Completed | 33.33% | $192.83 | $197.81 | 2.58% | Stop |
| 2024-08-28 | 2025-03-10 | Completed | 33.33% | $192.83 | $197.81 | 2.58% | Stop |
| 2024-08-06 | 2024-08-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-08-06 | 2024-08-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-08-06 | 2024-08-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2023-12-26 | 2024-08-06 | Completed | 33.33% | $153.68 | $173.72 | 13.04% | Stop |
| 2023-11-08 | 2024-08-06 | Completed | 33.33% | $141.94 | $173.72 | 22.39% | Stop |
| 2023-04-04 | 2024-08-06 | Completed | 33.33% | $138.14 | $173.72 | 25.75% | Stop |
| 2023-11-01 | 2023-12-26 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.85% | Interest Income |
| 2023-06-02 | 2023-11-08 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.75% | Interest Income |
| 2023-07-31 | 2023-11-01 | Completed | 33.33% | $143.18 | $134.76 | -5.88% | Signal |
| 2023-06-02 | 2023-07-31 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.12% | Interest Income |
| 2023-05-26 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-03-24 | 2023-05-26 | Completed | 33.33% | $128.84 | $133.34 | 3.50% | Signal |
| 2022-12-02 | 2023-04-04 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2023-03-20 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.23% | Interest Income |
| 2022-12-02 | 2023-03-24 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.11% | Interest Income |
| 2022-10-25 | 2023-03-20 | Completed | 33.33% | $137.58 | $129.06 | -6.19% | Signal |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-10-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-09-22 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.22% | Interest Income |
| 2022-09-22 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.22% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-08-16 | 2022-09-22 | Completed | 33.33% | $138.91 | $131.42 | -5.39% | Stop |
| 2022-08-16 | 2022-09-22 | Completed | 33.33% | $138.91 | $131.42 | -5.39% | Stop |
| 2022-08-29 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-05-25 | 2022-08-29 | Completed | 33.33% | $130.58 | $137.09 | 4.98% | Signal |
| 2022-04-18 | 2022-08-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2022-03-02 | 2022-08-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2022-05-03 | 2022-05-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2022-02-15 | 2022-05-03 | Completed | 33.33% | $156.00 | $141.80 | -9.10% | Stop |
| 2022-02-10 | 2022-04-18 | Completed | 33.33% | $160.28 | $151.13 | -5.71% | Signal |
| 2022-01-19 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-24 | 2022-02-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-01-19 | 2022-02-10 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2021-03-30 | 2022-01-24 | Completed | 33.33% | $147.59 | $148.19 | 0.41% | Stop |
| 2021-03-29 | 2022-01-19 | Completed | 33.33% | $148.86 | $160.61 | 7.89% | Stop |
| 2021-03-29 | 2022-01-19 | Completed | 33.33% | $148.86 | $160.61 | 7.89% | Stop |
| 2021-03-08 | 2021-03-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-03-05 | 2021-03-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-03-05 | 2021-03-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-04-03 | 2021-03-08 | Completed | 33.33% | $96.87 | $146.62 | 51.36% | Stop |
| 2020-06-23 | 2021-03-05 | Completed | 33.33% | $123.95 | $146.92 | 18.53% | Stop |
| 2020-03-24 | 2021-03-05 | Completed | 33.33% | $88.68 | $146.92 | 65.67% | Stop |
| 2020-06-02 | 2020-06-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2020-04-22 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2020-03-24 | 2020-04-22 | Completed | 33.33% | $88.68 | $108.13 | 21.93% | Signal |
| 2020-03-12 | 2020-04-03 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2020-03-03 | 2020-03-24 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2019-01-11 | 2020-03-12 | Completed | 33.33% | $94.24 | $99.71 | 5.81% | Stop |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2020-03-02 | 2020-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2019-12-31 | 2020-03-02 | Completed | 33.33% | $116.81 | $113.06 | -3.21% | Stop |
| 2019-03-20 | 2020-03-02 | Completed | 33.33% | $102.76 | $113.06 | 10.03% | Stop |
| 2019-12-06 | 2019-12-31 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2019-03-20 | 2019-12-06 | Completed | 33.33% | $102.76 | $115.44 | 12.34% | Signal |
| 2019-03-04 | 2019-03-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2019-03-04 | 2019-03-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2019-01-22 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2018-12-04 | 2019-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.61% | Interest Income |
| 2019-01-17 | 2019-01-22 | Completed | 33.33% | $94.97 | $96.47 | 1.58% | Signal |
| 2018-12-24 | 2019-01-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2018-12-18 | 2019-01-11 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2018-11-20 | 2018-12-24 | Completed | 33.33% | $92.69 | $87.04 | -6.10% | Stop |
| 2016-02-10 | 2018-12-18 | Completed | 33.33% | $58.38 | $93.12 | 59.51% | Stop |
| 2018-11-27 | 2018-12-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2018-11-20 | 2018-11-27 | Completed | 33.33% | $92.69 | $94.99 | 2.48% | Signal |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2018-10-29 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2018-10-29 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2017-02-07 | 2018-10-29 | Completed | 33.33% | $71.10 | $97.71 | 37.44% | Stop |
| 2016-03-23 | 2018-10-29 | Completed | 33.33% | $63.81 | $97.71 | 53.13% | Stop |
| 2016-11-22 | 2017-02-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.26% | Interest Income |
| 2016-05-09 | 2016-11-22 | Completed | 33.33% | $65.14 | $67.98 | 4.37% | Signal |
| 2016-04-04 | 2016-05-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2016-03-02 | 2016-04-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-03-02 | 2016-03-23 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2016-02-10 | 2016-03-02 | Completed | 33.33% | $58.38 | $63.00 | 7.91% | Signal |
| 2016-02-02 | 2016-03-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2016-02-02 | 2016-02-10 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2016-02-02 | 2016-02-10 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2016-01-19 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-01-19 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2016-01-19 | 2016-02-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2015-12-08 | 2016-01-19 | Completed | 33.33% | $64.91 | $60.93 | -6.13% | Stop |
| 2015-09-17 | 2016-01-19 | Completed | 33.33% | $62.95 | $60.93 | -3.20% | Stop |
| 2015-09-17 | 2016-01-19 | Completed | 33.33% | $62.95 | $60.93 | -3.20% | Stop |
| 2015-11-03 | 2015-12-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2015-10-15 | 2015-11-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2015-09-17 | 2015-10-15 | Completed | 33.33% | $62.95 | $62.03 | -1.46% | Signal |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-09-02 | 2015-09-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-08-25 | 2015-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-04-14 | 2015-08-25 | Completed | 33.33% | $62.08 | $59.17 | -4.69% | Stop |
| 2015-04-14 | 2015-08-25 | Completed | 33.33% | $62.08 | $59.17 | -4.69% | Stop |
| 2015-04-14 | 2015-08-25 | Completed | 33.33% | $62.08 | $59.17 | -4.69% | Stop |
| 2015-04-10 | 2015-04-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-04-10 | 2015-04-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2015-04-10 | 2015-04-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |