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Are Equity Momentum ETFs Working?

May 17, 2021 • 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 2021, we find that: (more…)

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