Momentum vs Low Volatility
What the market is paying for: last year's winners (MTUM) or the steadiest stocks (USMV), with dividends. A rising line means momentum is pulling ahead. The record runs back to 1963 through CRSP portfolios sorted the same two ways.
Today's reading
As of October 19, 2026, the MSCI USA Momentum ETF (MTUM) has returned +6.4% against the Minimum Volatility ETF (USMV) over twelve months, dividends included, higher than 62% of twelve-month readings since 2013. The ratio is −20.5% from its record of June 22, 2026. On the CRSP record through August 2026, momentum sat +2.5 sd from a trend fitted since 1999 and −0.6 sd from one fitted since 1963; the 1999 fit peaked at +4.0 sd in June 2026.
Sources, methodology & freshnessMTUM and USMV daily closes with Massive dividends; Ken French, 10 Portfolios Formed on Prior (12-2) Return and Portfolios Formed on Variance (CRSP) · Daily after market close; the CRSP record monthly with a one- to two-month lagData as of 2026-10-19 · Open ↓Close ↑
Momentum's total return relative to low volatility over twelve months, higher than 62% of readings since 2013. −20.5% from the record of June 22, 2026.
Descriptions, not forecasts. Standard deviations of each fit's own residuals; the three trend lines disagree because momentum's long-run drift depends on the start date.
MTUM against USMV since 2013
The investable version, daily, with dividends reinvested in both funds, starting at 1.0 on April 18, 2013. The dashed line is a log-linear trend fitted on the whole fund record (+2.0% a year). Today the ratio is −2.6% from its 200-day average and −20.5% from its record.
Momentum against low volatility since 1963
The CRSP version: the tenth of US stocks with the strongest prior-year return against the fifth with the lowest volatility, both value weighted with dividends, monthly through August 2026. It moved with the fund pair month to month (correlation 0.82 over 160 months). The two trend lines show how much the start date matters: fitted since 1963 the ratio drifts up +4.2% a year; fitted since 1999, +0.2%.
How far from trend?
The same CRSP ratio measured as its distance from each trend, in standard deviations. Against the 1999 trend the peak was +4.0 sd in June 2026; against the trend since 1963 the highest reading was +3.1 sd in February 2000. The point-in-time line uses only the months known at each date (from 1983, after twenty years of data), so it never benefits from hindsight: its highest was +2.6 sd in February 2000.
Twelve-month change
No trend line needed: how much momentum gained or lost against low volatility over each trailing year. The CRSP record (black) rose +33.3% in the twelve months to August 2026, higher than 93% of months since 1964; the fund pair (purple) is +6.4% today.
The largest surges since 1963
Twelve-month rises in the top 5% of months, the highest in each stretch and at least three years apart, with what the ratio did afterwards. This is history: 4 completed episodes are too few to grade as a forecast.
| Month | 12-month rise | From trend (point in time) | Next 12 months | Deepest within 24 months |
|---|---|---|---|---|
| June 1966 | +79% | before 1983 | +10% | −20% |
| February 1980 | +67% | before 1983 | −10% | −23% |
| September 1993 | +39% | −0.2 sd | +1% | −7% |
| February 2000 | +99% | +2.6 sd | −50% | −53% |
| June 2026 (open) | +59% | +0.1 sd | pending | −19% so far |
Data: MTUM, USMV and SPY daily closes; dividends from Massive; Ken French, 10 Portfolios Formed on Prior (12-2) Return and Portfolios Formed on Variance (CRSP), through August 2026. Download the series: momentum_low_vol.json.
Momentum's total return relative to low volatility over twelve months, higher than 62% of readings since 2013. −20.5% from the record of June 22, 2026.
Descriptions, not forecasts. Standard deviations of each fit's own residuals; the three trend lines disagree because momentum's long-run drift depends on the start date.
How Momentum vs Low Volatility Works
- 1Divide momentum by low volatilityMTUM holds the large and mid-sized US stocks with the strongest returns over the past year; USMV holds a portfolio built for the lowest volatility. Dividing one total-return series by the other shows which style the market is paying for: a rising line means winners are beating the steadiest stocks.
- 2Extend the record to 1963MTUM listed in 2013. For the decades before, the page uses Ken French’s CRSP portfolios: the tenth of US stocks with the highest return over the prior twelve months (skipping the latest month), against the fifth with the lowest daily volatility, both weighted by market value with dividends. The two versions moved together month to month; the page prints the correlation.
- 3Measure the distance from trend three waysMomentum has outrun low volatility over the long run, so the ratio drifts upward and a trend line is needed to call a reading stretched. The answer depends on where the line starts. The page fits one on the whole record since 1963, one from 1999 like the widely shared chart, and one refit each month on the months known then. Distances are in standard deviations of each fit’s own residuals.
- 4Read the twelve-month change tooThe change over twelve months needs no trend line at all. The history table lists the largest twelve-month surges since 1963 and what the ratio did over the following one and two years. It describes those episodes; it is not a forecast.