Momentum factor against the S&P 500 from Jul 2016 to Sep 2026: returns, volatility, Sharpe and Sortino ratios, drawdowns, the COVID crash and 2022, year by year.
From Jul 2016 to Sep 2026, momentum factor returned +16.2% a year against +15.2% for the S&P 500, with volatility of 18.0% against 15.2%. It beat the S&P 500 on raw return but not on risk-adjusted return: the extra gain came with more risk.
| Metric | Momentum factor | S&P 500 |
|---|---|---|
| Annual return (CAGR) | +16.2% | +15.2% |
| Volatility | 18.0% | 15.2% |
| Sharpe ratio | 0.81 | 0.88 |
| Sortino ratio | 1.36 | 1.39 |
| Max drawdown (month-end) | −30.2% | −23.9% |
| COVID crash (Feb–Mar 2020) | −17.9% | −19.4% |
| 2022 | −18.3% | −18.2% |
| Calendar years beating the S&P 500 | 5 of 9 | — |
| Correlation with the S&P 500 | 0.84 | 1.00 |
| Year | Momentum factor | S&P 500 | Difference |
|---|---|---|---|
| 2026 (YTD) | +26.9% | +12.1% | +14.8% |
| 2025 | +22.2% | +17.7% | +4.5% |
| 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 | +27.2% | +31.2% | −4.0% |
| 2018 | −1.7% | −4.6% | +2.9% |
| 2017 | +37.5% | +21.7% | +15.8% |
| End of | Momentum factor |
|---|---|
| 2016 | $10,018 |
| 2017 | $13,772 |
| 2018 | $13,543 |
| 2019 | $17,233 |
| 2020 | $22,378 |
| 2021 | $25,370 |
| 2022 | $20,734 |
| 2023 | $22,632 |
| 2024 | $30,073 |
| 2025 | $36,735 |
| Sep 2026 | $46,613 |
Holdings: MTUM. A factor ETF that tilts toward one characteristic of stocks that academic research links to long-run returns.
Ten years is one market cycle dominated by US large‑cap growth, so results for value, small caps and international‑style tilts can look very different over other periods. Compare every strategy side by side on the strategies page, or read why beating the S&P 500 is so hard.
Backtested (hypothetical) results calculated by Exent from historical ETF prices with dividends reinvested, monthly rebalancing unless stated, and no trading costs, taxes or fees beyond the funds’ own expense ratios. Backtests are not actual trading and have hindsight bias. Past performance does not guarantee future results. Not investment advice.
In Exent's backtest from Jul 2016 to Sep 2026, momentum factor returned +16.2% a year versus +15.2% for the S&P 500, with a Sharpe ratio of 0.81 versus 0.88. It beat the S&P 500 on raw return but not on risk-adjusted return: the extra gain came with more risk. Results over other periods can differ.
It returned −18.3% in 2022, when the S&P 500 returned −18.2%.
Exent measures your portfolio against a risk-matched benchmark, shows its Sharpe ratio, drawdowns and crash exposure, and where it sits on the efficient frontier.
Educational content, not investment advice. Examples are illustrative; past performance does not guarantee future results.