Comparing 5 Tactical/Momentum ETFs
Summary Momentum is regarded as the premier anomaly due to its persistent outperformance over long periods of time. With grim clouds presently hanging over today’s stock markets, tactical/momentum ETFs may allow an investor to conduct “passive market timing.” This article is a brief overview of several recently launched tactical/momentum ETFs. Introduction Momentum is often regarded as the premier anomaly due to its persistent outperformance over long periods of time. Stocks that have done well recently tend to continue to do well, while stocks that have done poorly recently tend to continue to do poorly. The momentum concept is embodied in aphorisms such as “Cut your losers and let your winners run.” Interestingly, momentum often runs counter to the tenets of value investing, which champions buying low and selling high. In a one-to-one contest however, the momentum premium beats the value premium hands down. In data presented in an article by GestaltU, the difference between high momentum (Sharpe = 0.58) and low momentum (0.05) stocks was much greater than the difference between value (0.49) and growth (0.23) stocks in the U.S. The p -value of the Sharpe ratio difference for momentum was