Snapshot*
Top 10 Holdings
What is MTUM?
The Fund seeks to track the investment results of the MSCI USA Momentum SR Variant Index (the Underlying Index ), which consists of stocks exhibiting relatively higher momentum characteristics from the traditional market capitalization-weighted parent index, the MSCI USA Index (the Parent Index ), as determined by MSCI Inc. (the Index Provider or MSCI ). The Parent Index includes U.S. large- and mid-capitalization stocks, as defined by MSCI. The Underlying Index is designed to measure the performance of an equity momentum strategy by emphasizing stocks with high price momentum, while maintaining reasonably high trading liquidity, investment capacity and moderate index turnover, each as determined by the Index Provider. The Underlying Index is a variant of the MSCI USA Momentum Index that employs a different reconstitution process. All constituent changes due to the semi-annual reconstitution of the Underlying Index are distributed over multiple days leading into the reconstitution effective date with an aim of facilitating easier implementation of the changes resulting from the reconstitution.
MTUMPerformance Measures**
for the time period Apr 18, 2013 to Jul 17, 2026
1M Trailing Return: -8.0%
The percent change in the value over the most recent 1-month period.
3M Trailing Return: 10.2%
The percent change in the value over the most recent 3-month period.
Max Drawdown: -34.1%
The greatest percent loss from peak to trough in value over the time period.
Standard Deviation: 20.0%
The typical amount that daily returns vary from the mean of the returns over the time period, standardized to a period of a year.
Sharpe Ratio: 0.83
The annualized arithmetic mean of the daily returns divided by the annualized standard deviation of the daily returns for the selected time period.
Calmar Ratio: 0.46
The annualized return divided by the max drawdown for the selected time period.
ETFs related toMTUM
ETFs correlated to MTUM include GAUG, LGRO, AUGW
What is ETF correlation?
Correlation is a measure of the strength of the relationship between two ETFs. It quantifies the degree to which prices of the two ETFs typically move together.
Here, correlation is measured over the past year with the Pearson correlation coefficient (Pearon’s r), which ranges from -1 to 1.
Using ETF correlations in portfolio and strategy construction
ETF correlations can help you create investing strategies and portfolios. Use them to:
- •Build a diversified portfolio from uncorrelated or inversely correlated ETFs with the aim of minimizing portfolio risk.
- •Compare correlated or related ETFs to find one with a lower expense ratio or higher trading volume.
- •Create an investing strategy that hedges an ETF with an uncorrelated or inversely correlated ETF.
Trading Strategies
Related toMTUM
Factor Alpha
Category
US equities, factor rotation, trend-following, growth tilt, momentum, quality, value, low volatility, small-cap, monthly rebalance
OOS Cumulative Return
104.68%
The Monster
Category
Tactical allocation, regime switching, leveraged ETFs, volatility hedging, multi-asset, rates-driven
OOS Cumulative Return
82.79%
Create your own algorithmic trading strategy with MTUM using Composer
FAQ
Disclaimers
We show information directly obtained from our data provider, Xignite. Data shown here is provided by Xignite, an unaffiliated third party. Composer believes the information shown here is reliable, but has not been verified and there is no guarantee that the information is accurate.
We show information based on calculations performed by Composer using data from our provider. Information provided here is based on calculations performed by Composer using data sourced from Xignite, an unaffiliated third party. Composer believes this information is reliable, but has not verified the data and there is no guarantee that the calculations are accurate.