The securities constituting Momentum ETFs are usually selected on basis of models combining total returns over past 11/12 months with other factors, such as fundamentals (earnings, book value or sales), adjusting for risk, medium-small-cap tilts and aiming for diversified sector exposure
Some of the Momentum-based strategies, applied to the S&P500 or from the Russell 1000 index, have been favored by historical market trends
It is often assumed that the momentum of mega-cap companies has had an oversized influence on the momentum of large cap indices
Represented in the theme by Vanguard Mega Cap Gowth and Mega Cap Value, our comparison with the performance and volatility ranges of Momentum ETFs appears to favor Value vs Growth factors