quantmodel — Hard reverse-engineer Aspect Partners Risk Managed Momentum vs AS

Objective

Hard reverse-engineer Aspect Partners Risk Managed Momentum vs AS.

Notes: Aspect RMM RE+replicated 2015+: corr 0.896 CAGRΔ +2.98%. Spec/port backtest/aspect_rmm.py. Findings: as-aspect-rmm-re.md

Approach

Reuses existing report research/findings/as-aspect-rmm-re.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.

Files / code / data changed

Associated commits (inferred from log grep t105):

d2e9859a research: t105 Aspect RMM reverse-engineered (corr 0.896) (#90)
d2e9859a research: t105 Aspect RMM reverse-engineered (corr 0.896) (#90)
Source report: research/findings/as-aspect-rmm-re.md
Task-history entry: research/findings/task-history.json#t105

Results

Key table from source report (preserved):

AS date	AS	ours	match
2026-06-30	IEMG/IWM/VNQ 33%	same	exact
2026-05-29	IEMG/IWM/SPY 33%	same	exact
2026-04-30	IEMG/IWM/PDBC 33%	same	exact
2026-03-31	Cash 100%	Cash (SHY)	exact
2026-02-27	GLD/IEMG/SCZ 33%	same	exact
2026-01-30	GLD/IEMG/PDBC 33%	same	exact
2025-12-31	GLD/IEFA/IEMG 33%	same	exact
2025-09-30	GLD/IEMG/IWM 33%	same	exact

Conclusions and metrics are in research/findings/as-aspect-rmm-re.md; see detail page for preserved tables/metrics.

Conclusions

Aspect RMM RE+replicated 2015+: corr 0.896 CAGRΔ +2.98%. Spec/port backtest/aspect_rmm.py. Findings: as-aspect-rmm-re.md

Problems / follow-ups

See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.