MTUM
iShares MSCI USA Momentum Factor ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for MTUM (iShares MSCI USA Momentum Factor ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -21.9% (compared to the benchmark's drawdown of -34.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.7%, compared to a Buy-and-Hold benchmark return of 15.2%. The strategy executed 46 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
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 | 26.45% | 28.81% | 7.88% | 13.08% | 13.95% | 15.97% | 12.66% | 15.20% |
| Sharpe Ratio | 1.03 | 1.04 | 0.45 | 0.57 | 0.79 | 0.69 | 0.74 | 0.67 |
| Max Drawdown | -12.49% | -12.49% | -21.89% | -32.28% | -21.89% | -34.08% | -21.89% | -34.08% |
| % Time Invested | 100.0% | 100.0% | 93.1% | 100.0% | 95.2% | 100.0% | 94.5% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 4.0 | 0.0 | 3.5 | 0.0 | 4.1 | 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 or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2026-03-12 | 2026-04-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2026-02-25 | 2026-03-12 | Completed | 33.33% | $254.02 | $245.74 | -3.31% | Signal | |
| 2026-02-02 | 2026-02-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-05-01 | 2026-02-02 | Completed | 33.33% | $210.33 | $255.10 | 21.22% | Signal | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-01 | 2025-04-08 | Completed | 33.33% | $199.34 | $188.59 | -5.44% | Stop | |
| 2025-04-01 | 2025-04-08 | Completed | 33.33% | $199.34 | $188.59 | -5.44% | Stop | |
| 2024-08-28 | 2025-04-07 | Completed | 33.33% | $192.62 | $171.75 | -10.88% | Stop | |
| 2025-03-10 | 2025-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-10 | 2025-04-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-08-28 | 2025-03-10 | Completed | 33.33% | $192.62 | $197.59 | 2.53% | Stop | |
| 2024-08-28 | 2025-03-10 | Completed | 33.33% | $192.62 | $197.59 | 2.53% | Stop | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-12-26 | 2024-08-06 | Completed | 33.33% | $153.51 | $173.52 | 12.98% | Stop | |
| 2023-11-08 | 2024-08-06 | Completed | 33.33% | $141.78 | $173.52 | 22.33% | Stop | |
| 2023-04-04 | 2024-08-06 | Completed | 33.33% | $137.99 | $173.52 | 25.69% | Stop | |
| 2023-11-01 | 2023-12-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.79% | Interest Income | |
| 2023-05-26 | 2023-11-08 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.46% | Interest Income | |
| 2023-07-31 | 2023-11-01 | Completed | 33.33% | $143.02 | $134.61 | -5.93% | Signal | |
| 2023-03-20 | 2023-07-31 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income | |
| 2023-03-24 | 2023-05-26 | Completed | 33.33% | $128.70 | $133.20 | 3.45% | Signal | |
| 2022-08-29 | 2023-04-04 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.52% | Interest Income | |
| 2022-09-22 | 2023-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 2.17% | Interest Income | |
| 2022-10-25 | 2023-03-20 | Completed | 33.33% | $137.43 | $128.92 | -6.24% | Signal | |
| 2022-09-22 | 2022-10-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2022-08-16 | 2022-09-22 | Completed | 33.33% | $138.75 | $131.28 | -5.43% | Stop | |
| 2022-08-16 | 2022-09-22 | Completed | 33.33% | $138.75 | $131.28 | -5.43% | Stop | |
| 2022-05-25 | 2022-08-29 | Completed | 33.33% | $130.44 | $136.94 | 4.93% | Signal | |
| 2022-04-18 | 2022-08-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2022-01-19 | 2022-08-16 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income | |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-02-15 | 2022-05-03 | Completed | 33.33% | $155.83 | $141.64 | -9.15% | Stop | |
| 2022-02-10 | 2022-04-18 | Completed | 33.33% | $160.11 | $150.96 | -5.76% | Signal | |
| 2022-01-24 | 2022-02-15 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2022-01-19 | 2022-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-03-30 | 2022-01-24 | Completed | 33.33% | $147.42 | $148.03 | 0.36% | Stop | |
| 2021-03-29 | 2022-01-19 | Completed | 33.33% | $148.70 | $160.43 | 7.84% | Stop | |
| 2021-03-29 | 2022-01-19 | Completed | 33.33% | $148.70 | $160.43 | 7.84% | Stop | |
| 2021-03-08 | 2021-03-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-03-05 | 2021-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-03-05 | 2021-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-04-03 | 2021-03-08 | Completed | 33.33% | $96.76 | $146.46 | 51.29% | Stop | |
| 2020-06-23 | 2021-03-05 | Completed | 33.33% | $123.81 | $146.76 | 18.47% | Stop | |
| 2020-03-24 | 2021-03-05 | Completed | 33.33% | $88.58 | $146.76 | 65.59% | Stop | |
| 2020-04-22 | 2020-06-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-24 | 2020-04-22 | Completed | 33.33% | $88.58 | $108.01 | 21.87% | Signal | |
| 2020-03-12 | 2020-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-11 | 2020-03-12 | Completed | 33.33% | $94.13 | $99.60 | 5.75% | Stop | |
| 2019-12-31 | 2020-03-02 | Completed | 33.33% | $116.68 | $112.93 | -3.26% | Stop | |
| 2019-03-20 | 2020-03-02 | Completed | 33.33% | $102.64 | $112.93 | 9.97% | Stop | |
| 2019-12-06 | 2019-12-31 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2019-03-20 | 2019-12-06 | Completed | 33.33% | $102.64 | $115.31 | 12.29% | Signal | |
| 2019-01-22 | 2019-03-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income | |
| 2018-11-27 | 2019-03-20 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2019-01-17 | 2019-01-22 | Completed | 33.33% | $94.87 | $96.36 | 1.53% | Signal | |
| 2018-12-24 | 2019-01-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-12-18 | 2019-01-11 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-20 | 2018-12-24 | Completed | 33.33% | $92.59 | $86.95 | -6.14% | Stop | |
| 2016-02-10 | 2018-12-18 | Completed | 33.33% | $58.32 | $93.02 | 59.43% | Stop | |
| 2018-11-20 | 2018-11-27 | Completed | 33.33% | $92.59 | $94.89 | 2.43% | Signal | |
| 2018-10-29 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-10-29 | 2018-11-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2017-02-07 | 2018-10-29 | Completed | 33.33% | $71.02 | $97.61 | 37.37% | Stop | |
| 2016-03-23 | 2018-10-29 | Completed | 33.33% | $63.74 | $97.61 | 53.05% | Stop | |
| 2016-11-22 | 2017-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2016-05-09 | 2016-11-22 | Completed | 33.33% | $65.07 | $67.91 | 4.32% | Signal | |
| 2016-03-02 | 2016-05-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2016-01-19 | 2016-03-23 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2016-02-10 | 2016-03-02 | Completed | 33.33% | $58.32 | $62.93 | 7.85% | Signal | |
| 2016-01-19 | 2016-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-01-19 | 2016-02-10 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-12-08 | 2016-01-19 | Completed | 33.33% | $64.84 | $60.87 | -6.18% | Stop | |
| 2015-09-17 | 2016-01-19 | Completed | 33.33% | $62.88 | $60.87 | -3.25% | Stop | |
| 2015-09-17 | 2016-01-19 | Completed | 33.33% | $62.88 | $60.87 | -3.25% | Stop | |
| 2015-10-15 | 2015-12-08 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2015-10-15 | Completed | 33.33% | $62.88 | $61.96 | -1.51% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-04-14 | 2015-08-25 | Completed | 33.33% | $62.01 | $59.10 | -4.74% | Stop | |
| 2015-04-14 | 2015-08-25 | Completed | 33.33% | $62.01 | $59.10 | -4.74% | Stop | |
| 2015-04-14 | 2015-08-25 | Completed | 33.33% | $62.01 | $59.10 | -4.74% | Stop | |
| 2015-04-10 | 2015-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-04-10 | 2015-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-04-10 | 2015-04-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |