Checking In On The MSCI Momentum Index ETF: MTUM

Dec 04, 2018

The MSCI Momentum ETF (MTUM) rebalanced on Nov 30.   In the image below we look at a sampling of the rebalance -- comparing a basket of top buys vs a basket of what it sold out of and compare those for the trailing 12 months.  

The ETF uses a combination of 12-mo and 6-mo momentum as well as a 36-mo volatility factor.   All of these are of course drop-menu choices in all of our Relative Strength backtesting applicaitons.

As you observe the chart of the 2 baskets, it should be clear the difference is in the Buy Baskets (In Green) 6-mo difference -- as the 12-mo returns are not much different. The entire point of using the 2nd time period (6-Mo) as a factor is so that you capture some acceleration and importantly tilt away from decceleration.

 The image below uses the ETFreplay Compare Portfolios Backtest Application Module

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Index Funds & ETFs Are Making Stocks Go Up With Their Senseless Buying? Oh Really?

Nov 11, 2018 in Stocks

Only looking at 4 top index funds that have been strong BUYERS of GE stock ---  to the tune of +223 million shares since 2010.

 

GE_SHARES.pdf (286.44 kb)

 

Started end of 2010 because that is the year VOO (Vanguard S&P 500 ETF) began trading.

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Sector ETF Backtesting -- Tips & Tricks

Oct 30, 2018 in Sectors | Video

A video to address US Sector Backtesting -- straight relative strength is not often the best way to go with regard to sectors. The public video below uses the following subscriber-only backtest ETFreplay Advanced Relative Strength Backtest

 

 to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen

 

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ETF Advanced Relative Strength Backtest Discussion Video

Oct 17, 2018 in Backtest | Video

An updated video for the Advanced Relative Strength Backtest (and we simultaneously provide a brief overview of ETFreplay as well in the beginning of this video). The public video below uses the following subscriber-only backtest ETFreplay Advanced Relative Strength Backtest

 

 to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen

 

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Core-Satellite Demonstration. Combining 2 ETF strategies Into a Single Unified Module

Sep 04, 2018 in Backtest | Video

In this video we demonstrate how to build 2 individual strategies and then easily combine them using the Core-Satellite backtest module. The public video below uses the following subscriber-only backtest ETFreplay Core - Satellite Backtest

 

 to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen

 

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Example of the Core - Regime Relative Strength ETF Backtest Module

Jul 26, 2018 in Regime Change | Video

A video with a demonstration of the new Core-Regime RS Backtest module. The public video below uses the following subscriber-only backtest ETFreplay Core - Regime Relative Strength Backtest

 

 to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen

 

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ETF Relative Strength Industry Backtest

Jul 24, 2018

There is a LOT of action in industry ETFs and you don't have to worry about headline risk (news, earnings reports etc...)

  

 

 

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Backtesting more than 25 securities at once on ETFreplay.com

Jun 16, 2018 in Backtest | Relative Strength | Video

A video showing how to backtest more than 25 securities at a time. The public video below uses the following subscriber-only backtest ETFreplay Relative Strength Backtest - Combine Portfolios

 

 to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen

 

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Example of the ETF Return vs Volatility Tool

Jun 04, 2018

 

 

Link to this tool ETFreplay Return vs Volatility Tool

 

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ETF Backtest Concepts - Relative Strength And The Use of a Moving Average Filter

Apr 30, 2018 in Advanced Relative Strength | Backtest | moving average | Video

A video using ETFreplay Backtesting to look at some relative strength concepts and a moving average filter (daily).

 

 to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen

 

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