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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -28.1% (compared to the benchmark's drawdown of -34.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 15.5%, compared to a Buy-and-Hold benchmark return of 15.2%. The strategy executed 12 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
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 Active
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
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MTUM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 28.92% | 28.81% | 11.71% | 13.08% | 16.55% | 15.97% | 15.50% | 15.20% |
| Sharpe Ratio | 1.06 | 1.04 | 0.57 | 0.57 | 0.83 | 0.69 | 0.80 | 0.67 |
| Max Drawdown | -12.49% | -12.49% | -28.08% | -32.28% | -28.08% | -34.08% | -28.08% | -34.08% |
| % Time Invested | 98.0% | 100.0% | 82.9% | 100.0% | 88.9% | 100.0% | 89.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.0 | 0.0 | 0.9 | 0.0 | 1.1 | 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 | ||||||||
| 2025-03-11 | 2025-04-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2024-08-28 | 2025-03-11 | Completed | 100% | $192.62 | $193.03 | 0.16% | Stop | |
| 2024-08-06 | 2024-08-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-04-04 | 2024-08-06 | Completed | 100% | $137.99 | $173.52 | 25.69% | Stop | |
| 2022-09-02 | 2023-04-04 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.47% | Interest Income | |
| 2022-05-24 | 2022-09-02 | Completed | 100% | $131.35 | $136.05 | 3.53% | Signal | |
| 2022-05-02 | 2022-05-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2022-02-14 | 2022-05-02 | Completed | 100% | $154.52 | $139.77 | -9.59% | Stop | |
| 2022-01-21 | 2022-02-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-03-30 | 2022-01-21 | Completed | 100% | $147.42 | $154.41 | 4.69% | Stop | |
| 2021-03-08 | 2021-03-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-03-24 | 2021-03-08 | Completed | 100% | $88.58 | $146.46 | 65.25% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-18 | 2020-03-02 | Completed | 100% | $96.75 | $112.93 | 16.67% | Stop | |
| 2018-12-26 | 2019-01-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2018-11-21 | 2018-12-26 | Completed | 100% | $94.61 | $85.63 | -9.54% | Stop | |
| 2018-10-30 | 2018-11-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-02-10 | 2018-10-30 | Completed | 100% | $58.32 | $94.30 | 61.63% | Stop | |
| 2016-01-19 | 2016-02-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-01-19 | Completed | 100% | $62.88 | $60.87 | -3.25% | Stop | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-04-14 | 2015-08-25 | Completed | 100% | $62.01 | $59.10 | -4.74% | Stop | |
| 2015-04-10 | 2015-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |