QMOM

QMOM: Second-Best In The Momentum Crash Of January 2023
February 06, 2023

Summary

• 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.

QMOM: Best-In-Class Momentum, Now 20% Cheaper
December 30, 2022

Summary

• Momentum is one of the best-researched systematic investing strategies and has produced significant outperformance in the past.
• The Alpha Architect U.S. Quantitative Momentum ETF follows a differentiated investment process that delivered strong momentum exposure in the past.
• Over the last 5 years, QMOM outperformed several other momentum exchange-traded funds and an academic benchmark from Kenneth French.
• On December 1, 2022, Alpha Architect (the manager of QMOM) announced that they will lower the management fee from 0.49% to 0.39% per 01/31/2023.
• This is a reduction of about 20% and makes the QMOM ETF even more attractive for investors who seek active momentum exposure.

QMOM: A Close Look At The Methodology
November 20, 2022

Summary

• Momentum is one of the best-researched systematic investing strategies and produced significant outperformance in the past.
• Over the last 5 years, the QMOM ETF outperformed the academic benchmark from Kenneth French and several other momentum ETFs.
• The QMOM ETF achieved this by a differentiated momentum-investment process, which I will analyze in this article.
• The QMOM ETF delivered momentum exposure and helps to add momentum to basically all portfolios.