High Beta & Momentum Strategies ETFs

High Beta & Momentum Strategies ETFs
  • Pininvest Analysis

The funds billed as ‘low volatility’ have mostly fulfilled their mandate but for investors, the features of the selected securities, rescaled to minimize volatility, matter foremost

Filters based on ‘high beta’ (sensitivity to market trends) and momentum in combination with low volatility targets may well have achieved an optimal alignment in an upward trending market with quite subdued volatility

Many, if not all multi-factor ETFs are accounting for a momentum factor, and most of the ETFs included in our theme have achieved an outstanding performance/volatility combination

But the strategy does expose the funds to sharp performance reversals, as seems to have been the case with the investment models of Goldman Sachs [asset ticker="GSLC" mnemonic="NYSEARCA"] and [asset ticker="GSIE" mnemonic="NYSEARCA"] leading the pack before being led over a fairly short time period 

The impact of future market reversals – and possible volatility blow-out - will inform on the balance struck by the funds between potentially adversarial factors

We do not receive any commission or other form of compensation from the providers included in our 'Funds' presentation

High Beta & Momentum Strategies ETFs • Updated:

Name Ticker Exchange Category SubCategory Currency Cur.Price AUM Perf. Momentum Vol. Risk Contrib. MDD
Fidelity Momentum Factor ETF FDMO NYSEARCA US Market LargeCap Momentum USD 47.71 86 M 35.3% Neutral 20%   13% -12%
First Trust Dorsey Wright Peoples Portfolio ETF DWPP NYSEARCA US Market LargeCap Momentum USD 31.66 63 M 24.8% Neutral 15%   7% -9%
Goldman Sachs ActiveBeta International Equity ETF GSIE NYSEARCA Developed Markets (ex-US) MultiFactor LowVolatility USD 35.96 1.7 B 37.0% Weak Up 14%   9% -7%
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF GSLC NYSEARCA US Market MultiFactor LowVolatility USD 84.80 7.5 B 39.1% Neutral 16%   11% -9%
Invesco S&P 500® High Beta ETF SPHB NYSEARCA US Market High Beta Mkt Sensitive USD 77.11 103 M 88.3% Weak Up 31%   14% -10%
Invesco S&P 500® Momentum Portfolio SPMO NYSEARCA US Market LargeCap Momentum USD 56.16 58 M 32.9% Neutral 20%   13% -11%
iShares Edge MSCI USA Momentum Factor ETF MTUM NYSEARCA US Market LargeCap Momentum USD 170.84 10 B 37.3% Neutral 23%   15% -16%
JPMorgan U.S. Momentum Factor ETF JMOM NYSEARCA US Market LargeCap Momentum USD 42.05 55 M 40.0% Neutral 19%   13% -11%
Laddered Fund of S&P 500 Power Buffer ETFs BUFF BATS US Market Limited Downside Protection USD 34.66 137 M 9.3% Neutral 14%   6% -12%