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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -28.4% (compared to the benchmark's drawdown of -34.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.9%, compared to a Buy-and-Hold benchmark return of 15.2%. The strategy executed 15 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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% | 8.89% | 13.08% | 13.78% | 15.97% | 11.89% | 15.20% |
| Sharpe Ratio | 1.06 | 1.04 | 0.47 | 0.57 | 0.76 | 0.69 | 0.68 | 0.67 |
| Max Drawdown | -12.49% | -12.49% | -28.37% | -32.28% | -28.37% | -34.08% | -28.37% | -34.08% |
| % Time Invested | 98.0% | 100.0% | 73.0% | 100.0% | 79.6% | 100.0% | 78.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 0.0 | 1.1 | 0.0 | 1.3 | 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 | ||||||||
| 2025-05-01 | 2025-05-23 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-04-02 | 2025-05-01 | Completed | 100% | $199.01 | $210.33 | 5.63% | Signal | |
| 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 | |
| 2023-08-02 | 2024-08-06 | Completed | 100% | $142.26 | $173.52 | 21.92% | Stop | |
| 2023-03-29 | 2023-08-02 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.78% | Interest Income | |
| 2022-12-14 | 2023-03-29 | Completed | 100% | $142.66 | $133.63 | -6.37% | Signal | |
| 2022-09-22 | 2022-12-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.91% | Interest Income | |
| 2022-08-16 | 2022-09-22 | Completed | 100% | $138.75 | $131.28 | -5.43% | Stop | |
| 2022-01-21 | 2022-08-16 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.63% | 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 | |
| 2020-06-18 | 2021-03-08 | Completed | 100% | $120.66 | $146.46 | 21.32% | Stop | |
| 2020-04-06 | 2020-06-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-03-24 | 2020-04-06 | Completed | 100% | $88.58 | $98.85 | 11.54% | Signal | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-03-20 | 2020-03-02 | Completed | 100% | $102.64 | $112.93 | 9.97% | Stop | |
| 2018-11-29 | 2019-03-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2018-11-21 | 2018-11-29 | Completed | 100% | $94.61 | $98.61 | 4.18% | Signal | |
| 2018-10-30 | 2018-11-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-04-25 | 2018-10-30 | Completed | 100% | $64.36 | $94.30 | 46.46% | Stop | |
| 2016-01-19 | 2016-04-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2015-11-13 | 2016-01-19 | Completed | 100% | $63.51 | $60.87 | -4.21% | Stop | |
| 2015-10-14 | 2015-11-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-09-17 | 2015-10-14 | Completed | 100% | $62.88 | $62.33 | -0.92% | Signal | |
| 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 | |