SA #3: MTUM – Momentum, But Somewhat Slow

MTUM: Momentum, But Somewhat Slow
December 28, 2022


  • Momentum is one of the best-researched systematic investing strategies, and has provided significant outperformance in the past.
  • The MTUM ETF tracks the MSCI USA Momentum SR Variant Index and is an easy way to add momentum to a portfolio.
  • The ETF follows a transparent methodology and has performed mostly in line with the academic momentum benchmark from Kenneth French since 2013.
  • The key problem of the methodology, however, is the slow, six-month rebalancing – also the reason why MTUM suffered in 2022.
  • For investors who don’t want to take too much active risk and/or monitor active managers, the MTUM ETF is still a reasonable momentum implementation.
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