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