Performance of Mechanical U.S. Stock Momentum ETFs

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: (more…)