iShares MSCI USA Momentum Factor (XMTM.TO): Historical Returns

Simulation Settings

Category: Stocks

Period: January 1982 - October 2024 (~43 years)
Consolidated Returns as of 31 October 2024

Currency: CAD

1.00$
Initial Capital
November 1994
39.34$
Final Capital
October 2024
13.02%
Yearly Return
13.40
Std Deviation
-41.66%
Max Drawdown
68months
Recovery Period

1.00$
Initial Capital
January 1982
290.10$
Final Capital
October 2024
14.15%
Yearly Return
13.88
Std Deviation
-41.66%
Max Drawdown
68months
Recovery Period

The iShares MSCI USA Momentum Factor (XMTM.TO) ETF covers to the following investment themes:

Asset Class: Equity
Size: Large Cap
Style: Growth
Region: North America
Country: U.S.

As of October 2024, in the previous 30 Years, the iShares MSCI USA Momentum Factor (XMTM.TO) ETF obtained a 13.02% compound annual return, with a 13.40% standard deviation. It suffered a maximum drawdown of -41.66% that required 68 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the ETFs/Assets issuers. Content is for informational, educational, illustrative and entertainment purposes only.

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Investment Returns as of Oct 31, 2024

The iShares MSCI USA Momentum Factor (XMTM.TO) ETF guaranteed the following returns.

Returns are calculated in CAD, assuming:

no fees or capital gain taxes.
dividend reinvestment, when applicable.
the actual Canada Inflation rates.

ISHARES MSCI USA MOMENTUM FACTOR (XMTM.TO) ETF

1 January 1982 - 31 October 2024 (~43 years)

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	Chg (%)		Return (%)	Return (%) as of Oct 31, 2024
	1 Day	*Time ET^()**	Nov 2024	YTD (10M)	1M	6M	1Y	5Y	10Y	30Y	MAX (~43Y)
Investment Return	n.a.		n.a.	35.75	3.32	15.24	49.71	13.21	15.32	13.02	14.15
Canada Inflation Adjusted Return				33.39	3.32	14.88	47.39	9.53	12.52	10.67	11.17
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
Canada Inflation is updated to Sep 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Inflation (annualized) is 1Y: 1.58% , 5Y: 3.35% , 10Y: 2.50% , 30Y: 2.13%

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Capital Growth as of Oct 31, 2024

An investment of 1$, from November 1994 to October 2024, would be worth 39.34$, with a total return of 3833.91% (13.02% annualized).

The Inflation Adjusted Capital would be 20.93$, with a net total return of 1992.71% (10.67% annualized).

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An investment of 1$, from January 1982 to October 2024, would be worth 290.10$, with a total return of 28909.77% (14.15% annualized).

The Inflation Adjusted Capital would be 93.28$, with a net total return of 9227.79% (11.17% annualized).

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Investment Metrics as of Oct 31, 2024

Metrics of iShares MSCI USA Momentum Factor (XMTM.TO) ETF, updated as of 31 October 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:

no fees or capital gain taxes.
dividend reinvestment, when applicable.
the actual Canada Inflation rates.

ISHARES MSCI USA MOMENTUM FACTOR (XMTM.TO) ETF

Advanced Metrics

1 January 1982 - 31 October 2024 (~43 years)

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	Metrics as of Oct 31, 2024
	YTD (10M)	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~43Y)
Investment Return (%)	35.75	3.32	7.18	15.24	49.71	7.13	13.21	15.32	11.99	13.02	14.15
Growth of 1$	1.36	1.03	1.07	1.15	1.50	1.23	1.86	4.16	9.63	39.34	290.10
Infl. Adjusted Return (%)	33.39	3.32	7.85	14.88	47.39	3.18	9.53	12.52	9.63	10.67	11.17
Canada Inflation (%)	1.77	0.00	-0.62	0.31	1.58	3.84	3.35	2.50	2.15	2.13	2.68
Pending updates, the monthly inflation of Oct 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:				Current	1Y	3Y	5Y	10Y	20Y	30Y	MAX
Deepest Drawdown Depth (%)				0.00	-3.53	-26.01	-26.01	-26.01	-41.66	-41.66	-41.66
Start to Recovery (# months)					3	27	27	27	68	68	68
Start (yyyy mm)					2024 04	2021 12	2021 12	2021 12	2007 06	2007 06	2007 06
Start to Bottom (# months)					1	7	7	7	21	21	21
Bottom (yyyy mm)					2024 04	2022 06	2022 06	2022 06	2009 02	2009 02	2009 02
Bottom to End (# months)					2	20	20	20	47	47	47
End (yyyy mm)					2024 06	2024 02	2024 02	2024 02	2013 01	2013 01	2013 01
Longest Drawdown Depth (%)					same	same	same	same	same	-39.94	-39.94
Start to Recovery (# months)					same	same	same	same	same	80	80
Start (yyyy mm)					2024 04	2021 12	2021 12	2021 12	2007 06	2000 09	2000 09
Start to Bottom (# months)					1	7	7	7	21	31	31
Bottom (yyyy mm)					2024 04	2022 06	2022 06	2022 06	2009 02	2003 03	2003 03
Bottom to End (# months)					2	20	20	20	47	49	49
End (yyyy mm)					2024 06	2024 02	2024 02	2024 02	2013 01	2007 04	2007 04
Longest negative period (# months)					2	27	38	38	79	153	153
Start (yyyy mm)					2024 03	2021 11	2020 09	2020 09	2005 03	2000 04	2000 04
End (yyyy mm)					2024 04	2024 01	2023 10	2023 10	2011 09	2012 12	2012 12
Annualized Return (%)					-1.68	-0.77	-0.84	-0.84	-0.06	-0.06	-0.06
Deepest Drawdown Depth (%)				0.00	-4.01	-30.22	-30.22	-30.22	-43.30	-50.57	-50.57
Start to Recovery (# months)					3	31	31	31	76	159	159
Start (yyyy mm)					2024 04	2021 12	2021 12	2021 12	2007 02	2000 09	2000 09
Start to Bottom (# months)					1	7	7	7	25	102	102
Bottom (yyyy mm)					2024 04	2022 06	2022 06	2022 06	2009 02	2009 02	2009 02
Bottom to End (# months)					2	24	24	24	51	57	57
End (yyyy mm)					2024 06	2024 06	2024 06	2024 06	2013 05	2013 11	2013 11
Longest Drawdown Depth (%)					same	same	same	same	same	same	same
Start to Recovery (# months)					same	same	same	same	same	same	same
Start (yyyy mm)					2024 04	2021 12	2021 12	2021 12	2007 02	2000 09	2000 09
Start to Bottom (# months)					1	7	7	7	25	102	102
Bottom (yyyy mm)					2024 04	2022 06	2022 06	2022 06	2009 02	2009 02	2009 02
Bottom to End (# months)					2	24	24	24	51	57	57
End (yyyy mm)					2024 06	2024 06	2024 06	2024 06	2013 05	2013 11	2013 11
Longest negative period (# months)					2	31	45	45	89	167	167
Start (yyyy mm)					2024 03	2021 11	2020 02	2020 02	2005 08	1999 02	1999 02
End (yyyy mm)					2024 04	2024 05	2023 10	2023 10	2012 12	2012 12	2012 12
Annualized Return (%)					-8.11	-1.00	-0.83	-0.83	-0.10	-0.11	-0.11
RISK INDICATORS					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)					13.18	16.32	16.09	14.47	13.05	13.40	13.88
Sharpe Ratio					3.37	0.22	0.68	0.95	0.81	0.80	0.76
Sortino Ratio					4.64	0.30	0.91	1.28	1.07	1.07	1.02
Ulcer Index					1.21	14.88	11.75	8.69	13.26	15.57	14.04
Ratio: Return / Standard Deviation					3.77	0.44	0.82	1.06	0.92	0.97	1.02
Ratio: Return / Deepest Drawdown					14.07	0.27	0.51	0.59	0.29	0.31	0.34
Positive Months (%)					75.00	52.77	58.33	64.16	63.75	63.05	63.81
Positive Months					9	19	35	77	153	227	328
Negative Months					3	17	25	43	87	133	186
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized								15.32	21.10	21.10	28.11
Worst 10 Years Return (%) - Annualized								15.32	8.69	-3.53	-3.53
Best 10 Years Return (%) - Annualized								12.52	19.05	19.05	25.65
Worst 10 Years Return (%) - Annualized								12.52	6.82	-5.42	-5.42
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:		1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX
··· As of Oct 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized					61.22	46.92	40.36	21.10	12.50	13.02
Worst Rolling Return (%) - Annualized					-32.39	-14.73	-4.74	-3.53	6.75	13.02
Positive Periods (%)					79.9	77.8	76.0	87.5	100.0	100.0
Best Rolling Return (%) - Annualized					59.63	44.73	38.07	19.05	10.46	10.67
Worst Rolling Return (%) - Annualized					-33.34	-17.08	-6.73	-5.42	4.82	10.67
Positive Periods (%)					76.7	72.6	70.7	82.5	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		5.26	7.72	8.98	18.49	28.99	14.05	22.13	0.00
95% CVaR - Conditional Value at Risk (%)		6.87	10.50	12.91	26.28	31.97	17.73	24.91	0.00
99% VaR - Value at Risk (%) - Cumulative		7.90	12.28	15.44	29.98	33.52	20.35	28.94	0.00
99% CVaR - Conditional Value at Risk (%)		9.57	15.19	19.55	32.12	35.93	21.00	30.18	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					77.46	23.81	13.99	6.94	4.40	13.26
Perpetual Withdrawal Rate (%)					---	---	---	---	2.69	12.63
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Jan 1982 - Oct 2024)
Best Rolling Return (%) - Annualized					61.22	46.92	40.36	28.11	19.40	14.39
Worst Rolling Return (%) - Annualized					-32.39	-14.73	-4.74	-3.53	6.75	11.72
Positive Periods (%)					82.1	84.5	84.1	92.4	100.0	100.0
Best Rolling Return (%) - Annualized					59.63	44.73	38.07	25.65	15.79	12.31
Worst Rolling Return (%) - Annualized					-33.34	-17.08	-6.73	-5.42	4.82	9.18
Positive Periods (%)					78.5	79.7	80.6	89.3	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		5.40	7.85	9.01	17.91	26.03	12.01	16.52	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		7.07	10.73	13.08	24.64	30.41	16.15	22.84	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		8.13	12.58	15.70	29.28	32.46	19.50	25.60	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		9.87	15.59	19.96	31.01	34.58	20.55	28.41	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					75.05	23.81	13.99	6.94	4.40	8.47
Perpetual Withdrawal Rate (%)					---	---	---	---	2.69	7.94
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com

Terms and Definitions

Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
Longest negative period: it's the maximum period for which an overall negative return has been observed.
Standard Deviation: it's a measure of the dispersion of returns around the mean.
Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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Correlations as of Oct 31, 2024

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

The following table shows the monthly correlations of iShares MSCI USA Momentum Factor (XMTM.TO) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

ISHARES MSCI USA MOMENTUM FACTOR (XMTM.TO) ETF

Monthly correlations as of 31 October 2024

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		Correlation vs XMTM.TO
	Asset Class	1 Year	5 Years	10 Years	30 Years
VUN.TO		0.80	0.79	0.80	0.90

Terms and Definitions

Correlation values range between -1 and +1

A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

Learn about historical correlations here: see how the main asset classes relate to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

ISHARES MSCI USA MOMENTUM FACTOR (XMTM.TO) ETF

Drawdown periods

Drawdown periods - Inflation Adjusted

1 November 1994 - 31 October 2024 (30 Years)

1 January 1982 - 31 October 2024 (~43 years)

Inflation Adjusted:

Chart Table Range

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Rolling Returns

For a detailed rolling return analysis, click here
iShares MSCI USA Momentum Factor (XMTM.TO) ETF: Rolling Returns

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

ISHARES MSCI USA MOMENTUM FACTOR (XMTM.TO) ETF

Annualized Rolling Returns

Annualized Rolling Returns - Inflation Adjusted

1 November 1994 - 31 October 2024 (30 Years)

1 January 1982 - 31 October 2024 (~43 years)

Inflation Adjusted:

Return Chart Capital Chart Table

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The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.

Seasonality

In which months is it better to invest in iShares MSCI USA Momentum Factor (XMTM.TO) ETF?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from January 1982 to October 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the iShares MSCI USA Momentum Factor (XMTM.TO) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ISHARES MSCI USA MOMENTUM FACTOR (XMTM.TO) ETF

Monthly Returns Distribution

1 November 1994 - 31 October 2024 (30 Years)

1 January 1982 - 31 October 2024 (~43 years)

227 Positive Months (63%) - 133 Negative Months (37%)

328 Positive Months (64%) - 186 Negative Months (36%)

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Methodology

Returns, up to September 2019, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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Table of contents

Investment Returns as of Oct 31, 2024

Capital Growth as of Oct 31, 2024

Investment Metrics as of Oct 31, 2024

Correlations as of Oct 31, 2024

Drawdowns

Rolling Returns

Seasonality

Monthly Returns