How Can I Beat the S&P 500? What the Evidence Says
The honest answer to the most asked question in investing: how many people beat the index, why it is so hard, why investors trail even their own funds, and how daily market context fits in.
ETFsInsight
MTUM ETF vs the S&P 500: Returns, Risk and Crash History
iShares MSCI USA Momentum Factor ETF (market value $28.5 billion): how it compared with the S&P 500, how it behaved in every crash since 2008, its risk‑adjusted returns. Data as of Oct 30, 2026.
What changed since Oct 26
Exent re-checks this page every day.
+12.5% 1‑year return through Oct 30 (was +24.6%)
Key takeaways
- MTUM returned +57.7% over the 5 years to Oct 30, 2026 versus +75.9% for the S&P 500: it lagged the index.
- Its 5-year Sharpe ratio was 0.36 against 0.58 for the S&P 500.
- Its deepest crisis drawdown was −34.1% in the covid crash (feb–mar 2020) (S&P 500: −34.1%).
- Five‑year volatility was 20.5% and beta 1.08.
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Did MTUM beat the S&P 500?
Over the 5 years to Oct 30, 2026, iShares MSCI USA Momentum Factor ETF (MTUM) returned +57.7% including dividends, versus +75.9% for the S&P 500 (SPY). It lagged the index by 18.2 percentage points, or +9.5% a year against +12.0%.
| Period | MTUM | S&P 500 | MTUM per year | S&P 500 per year | Result |
|---|---|---|---|---|---|
| 1 year | +12.5% | +12.0% | +12.5% | +12.0% | Beat |
| 3 years | +111.7% | +87.4% | +28.4% | +23.3% | Beat |
| 5 years | +57.7% | +75.9% | +9.5% | +12.0% | Lagged |
| 10 years | +320.0% | +316.3% | +15.4% | +15.3% | Beat |
- 1 year
- MTUM
- +12.5%
- S&P 500
- +12.0%
- MTUM per year
- +12.5%
- S&P 500 per year
- +12.0%
- Result
- Beat
- 3 years
- MTUM
- +111.7%
- S&P 500
- +87.4%
- MTUM per year
- +28.4%
- S&P 500 per year
- +23.3%
- Result
- Beat
- 5 years
- MTUM
- +57.7%
- S&P 500
- +75.9%
- MTUM per year
- +9.5%
- S&P 500 per year
- +12.0%
- Result
- Lagged
- 10 years
- MTUM
- +320.0%
- S&P 500
- +316.3%
- MTUM per year
- +15.4%
- S&P 500 per year
- +15.3%
- Result
- Beat
Total return with dividends reinvested, from month-end prices to Oct 30, 2026. Beating the index on raw return is only half the story: the next section adjusts for the risk taken. See also how to beat the S&P 500.
MTUM returns by year vs the S&P 500
MTUM beat the S&P 500 in 5 of the 9 full calendar years shown.
| Year | MTUM | S&P 500 | Difference |
|---|---|---|---|
| 2026 (to Oct 30, 2026) | +14.0% | +11.7% | +2.3% |
| 2025 | +22.1% | +17.7% | +4.4% |
| 2024 | +32.9% | +24.9% | +8.0% |
| 2023 | +9.2% | +26.2% | −17.0% |
| 2022 | −18.3% | −18.2% | −0.1% |
| 2021 | +13.4% | +28.7% | −15.3% |
| 2020 | +29.9% | +18.3% | +11.6% |
| 2019 | +27.3% | +31.2% | −3.9% |
| 2018 | −1.7% | −4.6% | +2.9% |
| 2017 | +37.5% | +21.7% | +15.8% |
MTUM risk-adjusted returns: Sharpe, Sortino and volatility
Over 5 years, MTUM had a Sharpe ratio of 0.36 against 0.58 for the S&P 500, so it earned less return per unit of risk than the index. Its annualized volatility was 21.1% and its beta 1.08: it tended to move about 1.1× as much as the market.
| Metric | MTUM | S&P 500 |
|---|---|---|
| Annual return | +9.5% | +12.0% |
| Volatility (annualized) | 21.1% | 15.5% |
| Sharpe ratio | 0.36 | 0.58 |
| Sortino ratio | 0.58 | 0.91 |
| Max drawdown (month-end) | −30.2% | −23.9% |
| Beta to the S&P 500 | 1.08 | 1.00 |
Sharpe divides return above cash by total volatility; Sortino counts only downside volatility. Both use monthly returns and the 1–3 month T‑bill ETF (BIL) as the risk‑free rate.
How MTUM behaved in past crashes
MTUM’s deepest fall in the crises below was −34.1% in the covid crash (feb–mar 2020), against −34.1% for the S&P 500. The last column turns that into money: what a $100,000 position would have lost from peak to trough.
| Crisis | MTUM | S&P 500 | Loss on $100,000 |
|---|---|---|---|
| 2018 trade-war selloff | −22.4% | −20.2% | −$22,420 |
| COVID crash (Feb–Mar 2020) | −34.1% | −34.1% | −$34,080 |
| 2022 inflation bear market | −28.5% | −25.4% | −$28,520 |
| 2025 tariff selloff | −21.1% | −19.0% | −$21,100 |
| Window | MTUM max drawdown |
|---|---|
| Last 1 year | −11.6% |
| Last 3 years | −21.0% |
| Last 5 years | −32.3% |
| Last 10 years | −34.1% |
Peak‑to‑trough declines from daily prices inside each crisis window. A crash replay does not predict the next crisis; it shows how much room a holding needs. Run the same replay on a whole portfolio with the crash test.
What moves with MTUM, and what doesn’t
Correlation runs from −1 (moves opposite) to +1 (moves in lockstep). Over the last 60 months of monthly returns, MTUM’s correlation with the S&P 500 was 0.79, with the Nasdaq‑100 0.79, with long Treasuries (TLT) 0.30 and with gold (GLD) 0.02.
Adding a 5% MTUM position to an S&P 500 portfolio would have moved its 5‑year volatility from 15.5% to 15.5%.
| Least correlated large caps | Correlation | Most correlated large caps | Correlation |
|---|---|---|---|
| CME | −0.22 | CAT | 0.72 |
| REGN | −0.19 | APH | 0.72 |
| COP | −0.17 | LRCX | 0.67 |
| XOM | −0.13 | KLAC | 0.66 |
| LMT | −0.12 | INTC | 0.63 |
Holdings that are highly correlated behave like one position in a selloff. See how to find hidden overlap.
What does MTUM hold?
As of Oct 20, 2026, MTUM held 125 positions; its 10 largest made up 35.2% of the fund. The largest was AMD (Advanced Micro Devices, Inc.) at 5.90%.
| Holding | Name | Weight |
|---|---|---|
| AMD | Advanced Micro Devices, Inc. | 5.90% |
| MU | Micron Technology, Inc. | 4.94% |
| INTC | Intel Corporation | 3.90% |
| CSCO | Cisco Systems, Inc. | 3.53% |
| JNJ | Johnson & Johnson | 3.30% |
| XOM | Exxon Mobil Corporation | 2.97% |
| GOOGL | Alphabet Inc. | 2.85% |
| AMAT | Applied Materials, Inc. | 2.68% |
| SNDK | Sandisk Corporation | 2.57% |
| PANW | Palo Alto Networks, Inc. | 2.52% |
From the fund’s latest published holdings. Overlap by weight adds up, for every stock both funds hold, the smaller of its two weights: 100% would mean the same portfolio. How much do VOO, QQQ and VTI overlap?
The right benchmark for MTUM
Exent matches every holding to the index with the most similar risk. For MTUM that is SPY (the S&P 500). Comparing a holding with an index that carries very different risk makes good results look bad and risky ones look clever. Read why the S&P 500 is the wrong benchmark for most portfolios.
Other popular ETFs
| Ticker | Name | 5‑year return | Volatility (5y) |
|---|---|---|---|
| SPCX | SPAC and New Issue ETF | +455.5% | 8.3% |
| VTI | Vanguard Total Stock Market Index Fund ETF Shares | +68.1% | 17.4% |
| VOO | Vanguard S&P 500 ETF | +76.5% | 16.8% |
| IVV | iShares Core S&P 500 ETF | +76.5% | 16.9% |
| SPY | State Street SPDR S&P 500 ETF Trust | +75.9% | 17.0% |
| 1557.T | SPDR S&P 500 ETF Trust | +78.6% | 20.7% |
| VXUS | Vanguard Total Intl Stock Idx Fund | +47.5% | 16.0% |
| QQQ | Invesco QQQ Trust | +84.3% | 22.3% |
Data and methodology
Returns are total returns from month‑end adjusted closing prices (dividends reinvested) through Oct 30, 2026. Crisis drawdowns and trailing maximum drawdowns use daily prices. Analyst coverage counts ratings published in the last 12 months, shown with a 30‑day delay. Full method: Exent methodology.
Holdings and weights are the fund’s latest published holdings; ETF overlap compares those holdings stock by stock.
Past performance does not guarantee future results. Historical figures are calculated by Exent from market data and are for education only; they are not investment advice or a recommendation to buy or sell any security.
See what MTUM does to your own portfolio
- Upload a screenshot of your holdings (or a CSV, Excel, PDF or Google Sheet); no brokerage login.
- Exent replays your whole portfolio, MTUM included, through the 2008, 2018, 2020, 2022 and 2025 selloffs and shows which holdings drive the losses.
- It finds holdings that move together with MTUM and compares your portfolio with a risk‑matched benchmark, Sharpe and Sortino included.
- Use the what‑if simulator to change weights and see the effect before you trade.
Frequently asked questions
Yes. MTUM returned +320.0% (+15.4% a year) over the 10 years to Oct 30, 2026, versus +316.3% (+15.3% a year) for the S&P 500, including dividends.
MTUM fell −34.1% from peak to trough during the covid crash (feb–mar 2020), versus −34.1% for the S&P 500.
MTUM fell −28.5% from peak to trough during the 2022 inflation bear market, versus −25.4% for the S&P 500.
Over the 5 years to Oct 30, 2026, MTUM’s Sharpe ratio was 0.36 and its Sortino ratio 0.58, versus 0.58 and 0.91 for the S&P 500.
MTUM’s 5‑year annualized volatility was 20.5%, higher than the S&P 500’s 17.0%, with a beta of 1.08.
Among large US stocks, the lowest correlations with MTUM over the last 60 months were CME (−0.22), REGN (−0.19), COP (−0.17). Its correlation with long Treasuries (TLT) was 0.30 and with gold (GLD) 0.02.
What would MTUM do to your portfolio?
Exent replays your whole portfolio through the same crashes, finds holdings that move together and compares you with a risk‑matched benchmark. Upload a screenshot; results in about a minute.
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Educational content, not investment advice. Examples are illustrative; past performance does not guarantee future results.