Objective
Extend MTUM history (factor momentum ETF; ~6 strategies).
Notes: MTUM←PDP 2007+; monthly corr ~0.894 (n=159). MMTM/XMMO weaker or shorter; MSCI USA Mom index not free. Findings: mtum-history-t173.md.
Approach
Reuses existing report research/findings/mtum-history-t173.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 t173):
e1156dfaresearch: t173 MTUM←PDP history proxy (2007+) (#170)e1156dfaresearch: t173 MTUM←PDP history proxy (2007+) (#170)- Source report:
research/findings/mtum-history-t173.md - Task-history entry:
research/findings/task-history.json#t173
Results
Key table from source report (preserved):
| Layer | Source | Start | Monthly corr vs MTUM |
|---|---|---|---|
| Live | MTUM | 2013-04-18 | — |
| Default | PDP (Invesco Dorsey Wright Momentum) | 2007-03-01 | 0.894 (n=159) |
| Near-IPO alt | MMTM (SPDR S&P 1500 Mom Tilt) | 2012-10-25 | 0.889 |
| Mid-cap mom | XMMO | 2005-03-03 | 0.811 |
| Growth control | SPYG | 2000-10-02 | 0.885 |
| AQR mom fund | AMOMX | — | delisted / empty on Yahoo |
Conclusions and metrics are in research/findings/mtum-history-t173.md; see detail page for preserved tables/metrics.
Conclusions
MTUM←PDP 2007+; monthly corr ~0.894 (n=159). MMTM/XMMO weaker or shorter; MSCI USA Mom index not free. Findings: mtum-history-t173.md.
Problems / follow-ups
- See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.
Links
- Task-history:
research/findings/task-history.jsonidt173 - Findings:
research/findings/mtum-history-t173.md - Commits:
e1156dfa,e1156dfa