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Are Equity Momentum ETFs Working?

May 18, 2022 • Posted in Equity Premium, Momentum Investing

Are stock and sector momentum strategies, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider eight momentum-oriented equity ETFs, all currently available, in order of longest to shortest available histories:

We focus on monthly return statistics, along with compound annual growth rates (CAGR) and maximum drawdowns (MaxDD). We assign benchmark ETFs according to momentum fund descriptions. Using monthly returns for the eight momentum funds and respective benchmarks as available through April 2022, we find that: (more…)

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