US ETF · FF6 US RETURNS IN USD

MTUM — iShares MSCI USA Momentum Factor ETF

Fund overlap 2013-May → 2026-Aug (160 months) · Backtest basis 1963-Jul → 2026-Aug (758 months) · Adj. R² 0.887 · AUM US$22,260M · MER 0.15%
The cards separate the fund's live record from the longer factor history used for the backtest, then show model fit, cost, valuation, and risk-adjusted results.
Age
13.4 years
2013-Apr → 2026-Sep
Long live record
Backtest Basis
63.2 years
1963-Jul → 2026-Aug
Full long-run factor record
Adj. R²
0.887
Good model fit
AUM
US$22.3B
Very large live fund
MER
0.15%
Low-cost active tilt
Dividend valuation
187
Rich
187
80 90 100 110 120+
0.58% Trailing 12-month yield
100 = median · below 100 inexpensive · above 100 rich Dividend valuation scale
Backtested Rel. Sharpe
1.26×
Decisive edge
R
0.5 1.0 1.3 1.8
Relative to a plain market benchmark. 1.0 = market-like risk-adjusted return; above 1.0 clears the market hurdle.
Smart-β Net
+1.41%
Positive value-add
S
-3% 0% 2.5% 4.5%
Annualized non-market factor contribution plus alpha. Above 0% means the smart-beta sleeve added value over plain market exposure.
Implementation: Core equity. No deterministic enhanced-income or derivative-income mandate detected.

What MTUM Is

MTUM (iShares MSCI USA Momentum Factor ETF) from IShares is a US equity ETF with $22.3B in assets, regressed on the FF6 US over 160 months. The fund tilts away from profitability (rmw) (β=-0.26); tilts toward momentum (umd) (β=0.45). Backtested-simulation excess return is +8.37% annualized; the in-sample realized excess was +13.45%.

Why MTUM Ranks This Way

  • Backtested relative Sharpe is 1.26, above the market's 1.00 benchmark.
  • Realized relative Sharpe is 0.97 over the fund's 160-month live sample.
  • Strongest non-market tilts point toward momentum (umd) (β=0.45) and away from profitability (rmw) (β=-0.26).
  • Dividend valuation is 87% richer than its historical median (187 on the 100 scale).
Best-fit classification
US Equity FF6 US Regression basis: USD Adj. R² 0.887 Fit window: 160M Backtest basis: 758M

This fund is classified as US Equity because that factor set produced the strongest accepted fit. Backtested figures use the winning model's full factor history (1963-Jul → 2026-Aug, 758 months), while the betas themselves are estimated over the fund-overlap window (160 months).

Factor return decomposition
Each bar = βi × factor return, geometrically annualized. Summary rows are computed from the combined monthly series they name.
Model: FF6 US
Sharpe — Backtested Sim.
0.490
Rel. to market: 1.259
Sharpe — Realized
0.810
Rel. to market: 0.972
How are these computed?

Currency basis: returns and factor contributions on this page are in USD. Fama-French US 6-factor set (Ken French data library, monthly, USD basis).

Classification winner: FF6 US with Adj. R² 0.887.

Factor context panel: each non-market row compares the current fund with stronger-fit public peers using FF6 US. Beta mode shows raw loadings, percentile mode ranks the fund within the positive-exposure subset, and the linked ticker points to the strongest peer in that factor.

Backtested Sim. applies MTUM's regression betas to the full factor history (1963-Jul → 2026-Aug, 758 months). Individual factor bars show separately annualized sleeves, while the subtotal rows are computed from the combined monthly non-market and smart-beta series directly. The Sharpe uses MTUM's realized in-sample volatility as the denominator — a deliberately conservative choice, since fixed-loading factor returns are smoother than what any real fund actually delivers.

Realized applies the same betas to the factor returns observed during MTUM's lifetime only (2013-May → 2026-Aug). The Sharpe is the fund's actual excess return over its actual volatility. Full methodology →

Factor exposure context
Each non-market row compares this fund with stronger-fit public peers using FF6 US. Toggle between raw factor beta and percentile rank within the same positive-exposure peer set.
Compared against 334 funds using FF6 US
Peer filter: Equity · AUM floor · 24M+ history · Adj. R² > 0.80 · |βmkt−1| < 0.25 · Non-Mkt > 0
Default view is percentile rank. Switch to β scale when you want the raw loading magnitude.
SMB
-0.30
0
0.24
0.47
0.71
0.95
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β -0.12
rank n/a
t -2.2
Current fund: non-positive loading · Top decile begins at β +0.88 · Leader: AVSC
HML
-0.30
0
0.24
0.47
0.71
0.95
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β -0.01
rank n/a
t -0.3
Current fund: non-positive loading · Top decile begins at β +0.41 · Leader: KBWB
RMW
-0.30
0
0.24
0.47
0.71
0.95
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β -0.26
rank n/a
t -4.2
Current fund: non-positive loading · Top decile begins at β +0.27 · Leader: QVAL
CMA
-0.30
0
0.24
0.47
0.71
0.95
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.08
44th pct
t +1.1
Current fund: 44th percentile of positive peers · Top decile begins at β +0.23 · Leader: RWJ
UMD
-0.30
0
0.24
0.47
0.71
0.95
0
20
40
60
80
90
100
0
2
4
6
8
10
12
β +0.45
100th pct
t +11.8
Current fund: 100th percentile of positive peers · Top decile begins at β +0.19 · Leader: MTUM
Factor exposures
Factor β t-stat Backtested % Realized %
Size (SMB) -0.121 -2.16 -0.28% +0.18%
Value (HML) -0.014 -0.27 -0.05% +0.01%
Profitability (RMW) -0.256 -4.20 -0.79% -0.54%
Investment (CMA) 0.083 1.06 +0.24% -0.09%
Momentum (UMD) 0.448 11.78 +3.03% +0.97%
Non-Market Factor Contribution · combined non-market series +2.14% +0.49%
Alpha (intercept) — -0.45 -0.71%
Smart-Beta Net · combined non-market series + alpha +1.41% -0.23%
+ Mkt-RF contribution · market 1.094 33.19 +6.65% +13.47%
= Total excess return +8.37% +13.45%
+ Rf base (%) 4.44% → 12.80% total 1.76% → 15.20% total
Fund snapshot
Issuer
IShares
Asset class
Equity
Inception
2013-04-16
Trailing 12-month yield
0.58%
Div CAGR
8.08%
Dividend valuation
187 (100=median)
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FAQ

What does this MTUM ETF page measure?

This page evaluates MTUM using factor regressions, relative Sharpe, valuation, and peer context. It is designed for ETF due diligence rather than quote tracking.

Why can Backtested Sim. and Realized differ?

Both views use the same estimated betas. The difference is the return window: Backtested Sim. applies them to the full factor history, while Realized applies them only during the fund's live sample.

Why might a high-return fund still look weak here?

A fund can post strong raw returns and still look unattractive on this screen if its non-market factor capture is weak, its implementation drag is high, or its volatility-adjusted return profile is weaker than the market.

How should US investors use this page?

Use it as a starting point for ETF selection: check whether the fund's live behavior, valuation, and peer context match its stated strategy.

Research disclaimer

Factor decomposition shows what MTUM's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.

Important context

VerifiedBeta publishes educational ETF research, not personalized investment advice, portfolio management, or security recommendations. Funds that screen well here can still be unsuitable for your objectives, taxes, liquidity needs, or constraints. Review fund documents, methodology assumptions, and your own circumstances before acting. See the full disclaimer.