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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Comments (3) -

Dec 07, 2018 03:37 #

This is great stuff.  When I look at XSLV and it's high Financial/Real Estate concentration, I would love to see this in a before/after rebalance like you did here.

Thanks for doing this.  I learned a lot.

JCNittany United States

Dec 11, 2018 13:49 #

I apparently have been under an inaccurate impression that MTUM rebalanced twice each year at the end of both March and September?

Big relative strength change from the end of September... MTUM up ~16% versus USMV +~9%.
By end of November, USMV leads 8.6% to 6.3% for MTUM.

Seems important to know when MTUM calculus will change the portfolio weights... it's obviously not captured by the market's dynamics, otherwise there's no need to ever rebalance.

rehamrick United States

Dec 12, 2018 09:47 #

Keep in mind that as a rule, the 'buy basket' will always be beating the 'sell basket' at the time of the rebalance.   That is the rule of the fund.     Its only been days since the re-balance but MTUM the overall fund is beating the basket of sells listed above (Portfolio B).  JPM and NVDA both down a lot more than MTUM since Nov 30.

ETFreplay United States

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