QMOM: Second-Best In The Momentum Crash Of January 2023
February 06, 2023
- January 2023 was brutal for momentum because many of last year’s losers suddenly outperformed – a momentum crash par excellence.
- The Dow Jones US Market Neutral Momentum Index, a simple and transparent implementation of the long-short momentum factor, lost 19% YTD (as of February 3, 2023).
- Most of the losses came from the short-side. The Dow Jones US Low Momentum Index, the portfolio of past losers, returned 25.68% YTD.
- The Alpha Architect U.S. Quantitative Momentum ETF returned -0.83% YTD and underperformed the US market by >10% points. Although painful, this is still second-best in a peer-group of other momentum ETFs.
- This speaks for the differentiated momentum process of Alpha Architect. Nobody likes bad months, but momentum crashes are actually a plausible reason why momentum worked historically and probably continues to do so in the future.
- 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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