Latest Momentum Factor ETFs Review
Compared with what was available 10 years, momentum as a major investment factor has gone a long way: it’s now universally recognized as one of the four essential stock investment factors. The other three are value, size and market. See, for example, the Carhart four-factor model explanation.
In this newsletter, we look at some of latest US stock momentum factor ETFs and compare their performance and other factors like cost and liquidity.
The following table shows recent performance of some ETFs to be discussed:
|1Yr AR||3Yr AR||5Yr AR||10Yr AR|
|MTUM (iShares MSCI USA Momentum Factor)||18.8%||33.5%||24.1%||21.8%|
|VFMO (Vanguard US Momentum Factor ETF)||22.6%||44.1%||24.3%|
|SPMO (Invesco S&P 500 Momentum ETF)||23.2%||32.5%||24.7%||20.8%|
|PDP (PowerShares DWA Momentum ETF)||11.3%||26.5%||24.3%||19.3%||15.2%|
|DUDE (Merlyn.AI SectorSurfer Momentum ETF)||13.3%|
|SPY (SPDR S&P 500 ETF)||24.4%||41.6%||22.6%||18.9%||15.8%|
Three year chart:
A few observations:
- Other than PowerShares DEA PDP and a new comer DUDE, all other momentum ETFs have outperformed SPY for the past 3 and 5 years.
- However, Year To Date (YTD), returns have varied. Specifically, DUDE (that started on 12/30/2020) underperformed greatly, while Vanguard and Invesco S&P have done better than the most popular iShares MTUM. None is able to better SPY.
- Last 1 year returns varied greatly, indicating great dispersion results in short term for different momentum calculation. But they seem to converge in a longer time frame (such as 5 years or so). This is especially true for the three ETFs from major ETF houses (Vanguard, iShares, Invesco S&P). We’ll look at the momentum method(s) in some details shortly.
Cost, size and liquidity
|Fund name||Expense Ratio||AUM (Asset Under Management)||Avg. Daily Volume|
|MTUM (iShares MSCI USA Momentum Factor)||0.15%||17 Bil||752K|
|VFMO (Vanguard US Momentum Factor ETF)||0.13%||189 Mil||7.8k|
|SPMO (Invesco S&P 500 Momentum ETF)||0.13%||97 Mil||15.5k|
|PDP (PowerShares DWA Momentum ETF)||0.62%||1.9 Bil||61k|
|DUDE (Merlyn.AI SectorSurfer Momentum ETF)||1.32%||175.9 Mil||13.3k|
|SPY (SPDR S&P 500 ETF)||0.095%||417 Bil||70 Mil|
It’s a very interesting table. The two biggest ETFs in terms of AUM are MTUM and PDP. PDP is the first generation momentum ETF that has a long history. It has accumulated quite some AUM. However, if one looks at the previous performance table, this fund actually did much worse than other ETFs from big ETF houses (last one year or last 5 years). Specifically, its AUM is 10 to 20 times larger than Vanguard VFMO and Invesco S&P 500 SPMO! Talk about market efficiency or investors’ inertia. Note this can’t be explained by tax consideration as most momentum ETFs probably have one year or so turn over.
Another even more interesting one is for the upcoming DUDE ETF: the ETF did much worse since its inception at the end of last year. But it still managed to accumulate about the same assets than VFMO that has more than 5 year history.
Another observation: the AUM size is not directly linked to expense ratio either: look at DUDE’s 1.32% expense ratio and compared that with VFMO’s 0.13%or even MTUM’s 0.15%! Talk about marketing and sales!
In terms of liquidity, none can match MTUM.
Let’s look at some details on what momentum algorithms are employed. In September 9, 2019: Momentum Factor Stock ETFs, we explained iShares MTUM’s momentum method. The MSCI momentum index it’s based on uses past 6 and 12 month total returns (one month lag), risk adjusted (i.e. adjusted with a stock’s volatility). This looks similar to Vanguard’s VFMO’s scoring method:
Note: The Momentum factor is measured by total returns from month T-12 to month T-1, total returns from month T-7 to month T-1, and the intercept from a 1-year regression of stock returns on their regional benchmark.
The intercept from a 1-year regression of stock returns on their regional benchmark seems to measure beta with respect to a stock’s benchmark. This beta serves as volatility for the past 6 and 12 months returns risk adjustment. Even though Vanguard doesn’t disclose its precise calculation method, it does look like the scoring method is very similar to that employed by iShares MSCI MTUM.
A more precise momentum value calculation is given in S&P Momentum Indices methodology document (which Invesco S&P 500 Momentum SPMO is based on):
- Calculating Momentum Indices (price change from 12 months ago to 1 month ago) or short term momentum indices (6 months price change)
- Adjusted by stock volatility
- Use Z-score on the above momentum indices to calculate final momentum scores.
Basically, we believe all of the three indexes are very similar, other than the candidate pool of stocks chosen. It’s thus safe to use either one of them for a core portfolio.
To summarize, because of the maturity and liquidity, we believe iShares MSCI Momentum ETF MTUM should be still the choice for core portfolio construction. We will still use MTUM in our portfolios like P Composite Momentum Scoring Factor ETFs on Advanced Strategies page.
Stocks continued to make record runs. More than half (56%) of S&P 500 companies reported Q3 earnings as of last Friday. We are now seeing the Q3 blended earning growth streak as 36.6%, 32.7%, 30% and 27.6% for each week. This means investors were positively surprised each week so far. As people are more and more used to (or tired of) the Covid-19 pandemic and a very positive company earnings, they are pushing stock valuation further up, even from an already extremely high level.
We are now entering a seasonally favorable period for stocks. It’s also a bit more encouraging to see that both small and mid cap stocks finally surpassed their previous highs and catching up with large cap stocks:
As always, we are cautiously optimistic and advocate the following practice:
- For strategic allocation (buy and hold) investors, ignore the current market behavior. Remember, as what we have emphasized numerous times, when you choose and commit to a strategic portfolio, you essentially know and commit that your investment horizon (or the time you need to utilize this capital) is 20 years or longer. As we pointed out, if your investments are those diversified (index) funds such as an S&P 500 index fund (VFINX, for example), you know your money is in some solid ‘business’ that eventually (20 years later) will deliver some reasonable returns. As long as you are comfortable with this thesis, you should sit tight and forget about the current gyration.
- For tactical investors, again, you have to ignore the current market noise. Furthermore, you should follow your strategy rigorously, especially in a time like this. Human emotion, both optimistic and pessimistic, and human desire, both greedy and fearful, are your worst enemies. This has been shown to be true time and time again.
Stock valuation is still extremely high by historical standard. For the moment, we believe it’s prudent to be cautious while riding on market uptrend. However how serious a correction might be, we have confidence in the US economy in the long term and thus in the stocks in aggregate. We just need to manage through interim losses carefully.
We again would like to emphasize that for any new investor and new money, the best way to step into this kind of markets is through dollar cost average (DCA), i.e. invest and/or follow a model portfolio in several phases (such as 2 or 3 months) instead of the whole sum at one shot.
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–Thanks to those who have already contributed — we appreciate it.
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