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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
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. | Vol. | Risk Contrib. | MDD |
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| Fidelity Momentum Factor ETF | FDMO | NYSEARCA | US Market | LargeCap Momentum | USD | 46.23 | 86 M | 21.8% | 33% | 10% | -34% |
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| First Trust Dorsey Wright Peoples Portfolio ETF | DWPP | NYSEARCA | US Market | LargeCap Momentum | USD | 29.18 | 63 M | -14.6% | 30% | 8% | -38% |
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| Goldman Sachs ActiveBeta International Equity ETF | GSIE | NYSEARCA | Developed Markets (ex-US) | MultiFactor LowVolatility | USD | 32.86 | 1.7 B | 9.7% | 31% | 9% | -34% |
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| Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | GSLC | NYSEARCA | US Market | MultiFactor LowVolatility | USD | 77.75 | 7.5 B | 18.1% | 34% | 11% | -34% |
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| Invesco S&P 500 High Beta ETF | SPHB | NYSEARCA | US Market | High Beta Mkt Sensitive | USD | 61.66 | 103 M | 31.5% | 53% | 15% | -47% |
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| Invesco S&P 500 Momentum Portfolio | SPMO | NYSEARCA | US Market | LargeCap Momentum | USD | 54.25 | 58 M | 25.7% | 36% | 11% | -31% |
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| iShares Edge MSCI USA Momentum Factor ETF | MTUM | NYSEARCA | US Market | LargeCap Momentum | USD | 169.93 | 10 B | 29.0% | 36% | 11% | -34% |
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| JPMorgan U.S. Momentum Factor ETF | JMOM | NYSEARCA | US Market | LargeCap Momentum | USD | 40.26 | 55 M | 27.9% | 33% | 11% | -34% |
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| Laddered Fund of S&P 500 Power Buffer ETFs | BUFF | BATS | US Market | Limited Downside Protection | USD | 31.48 | 137 M | -19.5% | 46% | 13% | -46% |
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