MTUM: Momentum, But Somewhat Slow
December 28, 2022
Summary
- 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.
- SA #18: RPV – ‘Pure Value’ Is Indeed More Value Than ‘Value’
- SA #17: IUSV – Transparent Value With Modest Active Risk
- SA #16: IWD – Low Growth Is Not Necessarily Value – Also For Large Caps
- SA #15: VLUE – Transparent Value With Little Industry Bets
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