The Test Bench › index_rule
Does iShares MSCI USA Momentum Factor (MTUM) actually work?
REALA measurable edge that survived the checks we ran.
The claim
Just buy the top momentum stocks -- no work, off the shelf — Buyable momentum ETF
What we did
Tested against Cap-weight SPY, buy & hold, 2017-2026 common window, net of expense ratio (fund price).
The result
Result: 18.5 %/yr CAGR net of fee (cap-weight = +12.5)
+18.5%/yr net of fee, Sharpe 0.89, maxDD -34%, expense 0.15% (risk-adjusted 6/12mo return, cap-weighted, ~125 stk, semiannual)
Verdict
The famous $15B+ momentum ETF -- real edge (+6%/yr vs SPY) but the overrated default: SPMO and even Fidelity's FDMO beat it. Its risk-adjusting and twice-a-year rebalance give up ground to simpler momentum. Good, not best.
What the test did and did not do
- survivorship-free universe
- net of real costs
- point-in-time data
- checked for look-ahead
- tested out of sample
Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.
Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.