MTUM compounded at +15.4% a year over the full period; QUAL compounded at +13.7% a year.
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 September 4, 2026
| Metric | QUAL
Quality factor | MTUM
Momentum factor |
|---|
| Total return |
| 1 week | −0.5% | +1.7% |
| 1 month | −1.1% | −1.1% |
| 3 months | +4.6% | −0.4% |
| 1 year | +18.1% | +25.3% |
| 3 years annualized | +18.2% | +28.6% |
| 5 years annualized | +10.7% | +12.0% |
| Full period annualized, since 2013 | +13.7% | +15.4% |
| Risk (trailing 3Y) |
| Volatility annualized, Yang–Zhang | 14.7% | 23.2% |
| Max drawdown | −18.0% | −21.0% |
| Sharpe ratio | 1.15 | 1.10 |
| Sortino ratio | 1.70 | 1.58 |
| Calmar ratio | 1.01 | 1.36 |
| 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 | $47B | $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 | 43.6% | 34.9% |
How to read this. The snapshot table starts with a 0.81 trailing-3Y correlation between QUAL and MTUM. It then pairs 14.7% and 23.2% for 3-year volatility, with max drawdowns of 18.0% and 21.0%.
This week
QUAL fell 0.5% and trades above its regime trend and above its intermediate trend; MTUM rose 1.7% and trades above its regime trend and below its intermediate trend. MTUM relative to QUAL rose 2.2%, had 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 11.7% below its June 22, 2026 high.
MTUM/QUAL ratio
1.370
12-mo range 1.218 to 1.599
Ratio, 1 week
+2.2%
week over week
QUAL from high
−2.0%
from its August 13, 2026 high
MTUM from high
−11.7%
from its June 22, 2026 high
Concentration
QUAL has 43.6% in its top 10, led by Technology and Communication Services names; MTUM has 34.9% in its top 10, led by Technology and Healthcare names.
Top 10 Holdings & Weights
Share of fund assets in each of the ten largest positions
QUAL top 10
Top 10 = 43.6% of the fund
MSFT7.72%
AAPL6.99%
NVDA6.34%
META3.83%
LLY3.70%
LRCX3.46%
TJX3.37%
V3.22%
AMAT2.70%
MA2.31%
MTUM top 10
Top 10 = 34.9% of the fund
MU5.08%
AMD5.03%
INTC3.76%
CSCO3.63%
JNJ3.52%
SNDK2.88%
AMAT2.86%
GOOGL2.77%
XOM2.74%
PANW2.63%
Growth of $100
Over the full period, QUAL compounded at +13.7% a year and MTUM at +15.4% a year. Over three years, QUAL compounded at +18.2% a year and MTUM at +28.6% a year.
Max historyMONTHLY · MAX HISTORY
MTUM / QUAL Ratio
This line tracks MTUM relative to QUAL, and a rising line means MTUM is leading QUAL. The ratio sits above its 10-month moving average and 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
92th
MTUM/QUAL full history
5-year percentile
94th
within last 5 years
Z-score
1.35
vs full-history mean
MTUM relative to QUAL sits at the 92nd percentile for full history and the 94th percentile for the last 5 years. Its z-score is 1.35.
Rolling Correlation (MTUM vs QUAL)
The latest 126-day correlation between QUAL and MTUM is 0.65. A lower reading means the two funds are moving less tightly together at that span.
MTUM – QUAL daily-return correlationWEEKLY · 5Y · 126D WINDOW
Rolling Volatility
The latest 126-day volatility reading is 13.4% for QUAL and 33.7% 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 0.87 for QUAL and 1.72 for MTUM. A fund at 1.00 moves with the index, so the reading further from 1.00 marks the path that separates more 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 92% of its down moves. The 1.12 ratio points to more participation in advances than in declines.
Upside capture
102%
MTUM vs QUAL, up months, full period
Downside capture
92%
MTUM vs QUAL, down months, full period
Capture ratio
1.12
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
QUAL and MTUM both sit above their regime trends, but only QUAL is above its intermediate trend. MTUM brings the faster return record; QUAL brings the steadier ride.
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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