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 GSLC/NYSEARCA and GSIE/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

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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 46.44 86 M 35.2% Neutral 21%   12% -12%
First Trust Dorsey Wright Peoples Portfolio ETF DWPP NYSEARCA US Market LargeCap Momentum USD 31.28 63 M 23.4% Weak Up 15%   5% -9%
Goldman Sachs ActiveBeta International Equity ETF GSIE NYSEARCA Developed Markets (ex-US) MultiFactor LowVolatility USD 34.67 1.7 B 44.3% Weak Up 16%   9% -7%
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF GSLC NYSEARCA US Market MultiFactor LowVolatility USD 83.07 7.5 B 43.7% Weak Up 17%   11% -9%
Invesco S&P 500® High Beta ETF SPHB NYSEARCA US Market High Beta Mkt Sensitive USD 74.64 103 M 121.7% Neutral 37%   17% -21%
Invesco S&P 500® Momentum Portfolio SPMO NYSEARCA US Market LargeCap Momentum USD 55.14 58 M 38.1% Neutral 21%   12% -11%
iShares Edge MSCI USA Momentum Factor ETF MTUM NYSEARCA US Market LargeCap Momentum USD 167.04 10 B 38.9% Neutral 23%   12% -16%
JPMorgan U.S. Momentum Factor ETF JMOM NYSEARCA US Market LargeCap Momentum USD 40.72 55 M 43.8% Neutral 20%   12% -11%
Laddered Fund of S&P 500 Power Buffer ETFs BUFF BATS US Market Limited Downside Protection USD 31.48 137 M 20.7% Neutral 26%   10% -22%