MTUM compounded at +15.3% a year over the full period and QUAL +13.7%.
QUAL (iShares MSCI USA Quality Factor ETF) is the quality factor and MTUM (iShares MSCI USA Momentum Factor ETF) is the momentum factor. This page tracks the difference in price, risk, and relative strength, and refreshes weekly.
Performance & Risk Snapshot
QUAL vs MTUM · adjusted close data, as of August 31, 2026
| Metric | QUAL
Quality factor | MTUM
Momentum factor |
|---|
| Total return |
| 1 week | −0.5% | −0.1% |
| 1 month | +1.5% | +0.3% |
| 3 months | +3.3% | −5.1% |
| 1 year | +18.5% | +22.8% |
| 3 years annualized | +19.1% | +29.1% |
| 5 years annualized | +11.0% | +12.0% |
| Full period annualized, since 2013 | +13.7% | +15.3% |
| Risk (trailing 3Y) |
| Volatility annualized, Yang–Zhang | 14.7% | 23.2% |
| Max drawdown | −18.0% | −21.0% |
| Sharpe ratio | 1.21 | 1.12 |
| Sortino ratio | 1.78 | 1.61 |
| Calmar ratio | 1.06 | 1.39 |
| Trend (price vs its own SMA) |
| Price vs 10-month SMA regime | Above | Above |
| Price vs 13-week SMA intermediate | Above | Below |
| Cost & income |
| Expense ratio | 0.150% | 0.150% |
| Dividend yield TTM | 0.9% | 0.6% |
| Assets under management | $48B | $24B |
| Relationship |
| Correlation to each other daily, 3Y | 0.81 |
| MTUM beta to QUAL | 1.28 |
| Beta to SPY daily, 3Y | 0.92 | 1.26 |
| Top-10 holdings weight | 43.4% | 40.1% |
How to read this. The trailing-3Y snapshot starts with pair correlation at 0.81, then volatility at 14.7% for QUAL and 23.2% for MTUM. The same trailing-3Y window shows max drawdown at 18.0% for QUAL and 21.0% for MTUM.
This week
QUAL fell 0.5% and trades above its regime trend and above its intermediate trend; MTUM fell 0.1% and trades above its regime trend and below its intermediate trend. MTUM relative to QUAL rose 0.5%, saw no cross this week, and sits in the lower half of its 12-month range. QUAL is 2.0% below its August 13, 2026 high; MTUM is 13.0% below its June 22, 2026 high.
MTUM/QUAL ratio
1.349
12-mo range 1.218 to 1.599
Ratio, 1 week
+0.5%
week over week
QUAL from high
−2.0%
from its August 13, 2026 high
MTUM from high
−13.0%
from its June 22, 2026 high
Concentration
QUAL carries 43.4% in its top 10, led by Technology and Communication Services; MTUM carries 40.1%, led by Technology and Industrials.
Top 10 Holdings & Weights
Share of fund assets in each of the ten largest positions
QUAL top 10
Top 10 = 43.4% of the fund
MSFT7.77%
AAPL6.75%
NVDA6.23%
META3.76%
LLY3.68%
LRCX3.53%
TJX3.36%
V3.24%
AMAT2.77%
KLAC2.33%
MTUM top 10
Top 10 = 40.1% of the fund
MU6.66%
AMD5.00%
AVGO4.47%
INTC4.03%
XOM3.80%
JNJ3.70%
CAT3.59%
LRCX3.19%
GEV2.83%
AMAT2.82%
Growth of $100
Over the full period, QUAL compounded at +13.7% a year and MTUM +15.3%. Over three years, QUAL compounded at +19.1% a year and MTUM +29.1%.
Max historyMONTHLY · MAX HISTORY
MTUM / QUAL Ratio
The ratio tracks MTUM strength relative to QUAL, and a rising line means MTUM is leading QUAL. It stands above its 10-month moving average, below its 13-week moving average, and the near-term trend favors neither leg clearly, the two trend filters disagree.
Max historyMONTHLY · 10M SMA
Last 5 yearsWEEKLY · 13W SMA
Where the ratio stands
Full-range percentile
90th
MTUM/QUAL full history
5-year percentile
92th
within last 5 years
Z-score
1.16
vs full-history mean
The ratio sits at the 90th percentile of full history and the 92nd over five years. Its z-score is 1.16.
Rolling Correlation (MTUM vs QUAL)
The latest 126-day correlation between QUAL and MTUM is 0.67. A lower reading means the two funds are moving less tightly.
MTUM – QUAL daily-return correlationWEEKLY · 5Y · 126D WINDOW
Rolling Volatility
The latest 126-day volatility is 13.9% for QUAL and 34.2% for MTUM.
Annualized realized volatility (Yang–Zhang)WEEKLY · 5Y · 126D WINDOW
Rolling Beta to the S&P 500
The latest 126-day beta to the S&P 500 is 0.88 for QUAL and 1.76 for MTUM. A fund at 1.00 moves with the index, so readings this far from 1.00 mark more path separation from the index.
QUAL and MTUM beta to SPY (reference line at 1.00)WEEKLY · 5Y · 126D WINDOW
Drawdown
Over the trailing three years, QUAL posted a max drawdown of 18.0% and MTUM 21.0%.
Drawdown from prior peak (dashed lines mark the 3Y and 5Y max drawdown)DAILY · 5Y
Time underwater
QUAL longest underwater
23 mo
2021 to 2023
MTUM longest underwater
28 mo
2021 to 2024
QUAL spent 23 months (2021 to 2023) below its prior peak and MTUM 28 months (2021 to 2024).
Upside / Downside Capture
Over full common history, monthly returns, MTUM captured 102% of QUAL's up moves and 93% of its down moves. The capture ratio is 1.11, which points to more participation in advances than declines.
Upside capture
102%
MTUM vs QUAL, up months, full period
Downside capture
93%
MTUM vs QUAL, down months, full period
Capture ratio
1.11
up ÷ down, full period
Beyond the price
What each index screens on. MTUM ranks stocks on trailing risk-adjusted price performance, so its book turns over as leadership changes. QUAL ranks on return on equity, debt-to-equity, and earnings variability, so its book changes when the reported financials do. Rebalancing. Both indices are reviewed semi-annually, and the momentum index adds conditional rebalances after volatility spikes, which is where the turnover gap comes from. Cost. Both charge 0.150%. Volatility. Over the trailing three years MTUM realized 23.2% against QUAL's 14.7%.
Where these fit at Quantlake
Quantlake's Smart model portfolios allocate across factors rather than holding one factor outright, because momentum and quality lead in different regimes. Discover which model aligns with your Behavioral Risk profile.
Related
Definitions
Total return: price change plus reinvested dividends, using adjusted-close prices.
Annualized volatility (Yang–Zhang): spread of returns scaled to one year; the Yang–Zhang estimator uses the open, high, low, and close of each bar, so it is more efficient than a close-to-close estimate.
Maximum drawdown: the largest peak-to-trough decline over the period.
Sharpe ratio: return earned per unit of total volatility.
Sortino ratio: like Sharpe, but penalizes only downside volatility.
Calmar ratio: annualized return divided by the worst drawdown.
Trend filters (regime / intermediate / tactical): moving-average timeframes in the Quantlake taxonomy: the 10-month average marks the regime (long-term) trend, the 13-week the intermediate trend, and the 20-day the tactical trend. A price or ratio above its average is an uptrend on that horizon, below it a downtrend.
Correlation: co-movement between two return streams, from −1 to +1.
Beta: sensitivity to a reference; a beta of 2 moves about twice a given reference move.
Relative-strength ratio: one fund's price divided by another; a rising ratio means the numerator is outperforming.
Upside / downside capture: the share of the benchmark's up (down) moves the fund reproduces; a capture ratio above 1 is favorable.
The Bottom Line
MTUM has delivered the faster compound return, with a choppier path through deeper and longer drawdowns. QUAL has paired lower realized risk with steadier trend posture.
Romain Gandon
CEO, Quantlake
Disclaimer: This article is for informational and educational purposes only and does not constitute investment advice. Past performance is not indicative of future results.
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