Do U.S. stock momentum exchange-traded funds (ETF) deliver attractive performance? In their February 2022 paper entitled "A Look Under the Hood of Momentum Funds", Ayelen Banegas and Carlo Rosa examine the performance of U.S. stock momentum funds. To measure performance uncontaminated by discretionary stock picking and portfolio construction methods, they focus on mechanical (passive) momentum ETFs. They segment selected ETFs into large-cap and small-cap groups to avoid any confounding size effect. Using monthly net returns and assets under management (AUM) for live and dead U.S. equity momentum ETFs with AUM greater than $50 million during January 2006 through October 2021, they find that:
Treasuries ETFs Momentum Strategy Update/Extension PremiumMonthly top-1 momentum rotation among seven Treasury ETFs (BIL, SHY, VTIP, IEI, IEF, TIP, TLT) beat the equal-weighted seven-ETF mix on CAGR in 9…
Doing Momentum with Style (ETFs) PremiumTop 1 style ETF momentum (monthly hold of the best 6-month performer among six iShares Russell value/growth ETFs) had the highest gross terminal value…
Developed Country Stock Index Momentum? PremiumA lazy country momentum strategy (semiannual 6-month winners, half of MSCI developed indexes) outperformed MSCI World (13.1% vs 10.3% gross annualized return; Dec 1969–Dec…
Review of Dual Momentum with Just Three Assets PremiumADM (monthly allocation to U.S. stocks, international small caps or long-term Treasuries using summed 1-, 3- and 6-month returns) had a higher annual Sharpe…
