IJH - QMOM: Midcap Momentum Fund Up +17% This Year

2024-05-07 22:44:25 ET

Summary

• The Alpha Architect U.S. Quantitative Momentum ETF has outperformed most equity ETFs, with a +17% return in 2024.
• QMOM follows a momentum-based strategy, identifying stocks that are experiencing an uptrend and building a portfolio exclusively with those names.
• The fund starts with 1,500 US equities and proceeds to eliminate illiquid securities, REITs, ADRs, and companies with limited financial data.
• The ETF applies proprietary screens to remove companies with negative momentum or beta and selects 50 stocks based on past 12-month performance (excluding the most recent month) and consistency.
• QMOM has a 0.08 Sharpe Ratio and 21% standard deviation, and a high correlation to the iShares Core S&P Mid-Cap ETF.

Thesis

A factor which has outperformed in 2024 has been momentum. We first started reviewing momentum-based strategies when we wrote about the JPMorgan U.S. Momentum Factor ETF ( JMOM ), and we are going to continue to explore this factor-based investment strategy in today's environment and the particularities of the 2024 macro cycle....

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