The US momentum trade is facing a historic unwind: The MSCI USA Momentum Factor ETF, MTUM, fell -8.2% on Thursday, posting its largest daily decline since March 16, 2020. This also marks its 3rd-largest daily decline since its inception in April 2013. MTUM has dropped -16% over the last 5 trading sessions, to its lowest level since April 7th. From its June peak, the fund is now down -27%, even exceeding the February-April 2025 drawdown of -25%. This follows a +38% gain from the beginning of 2026 to its June 22nd peak. The momentum trade is experiencing historic volatility.