Momentum strategy
TradingDefinition
Buying assets that have outperformed over the past 3-12 months and (sometimes) shorting laggards. Among the most-documented anomalies in finance: ~6-8% annual premium over equal-weighted benchmarks since 1970.
Subject to "momentum crashes" — sharp reversals at market bottoms (Mar 2009, Apr 2020, Oct 2023) when laggards rocket and leaders fall. ETFs: MTUM, SPMO, PDP, QMOM. Best combined with quality or low-vol screens to dampen crashes.
Subject to "momentum crashes" — sharp reversals at market bottoms (Mar 2009, Apr 2020, Oct 2023) when laggards rocket and leaders fall. ETFs: MTUM, SPMO, PDP, QMOM. Best combined with quality or low-vol screens to dampen crashes.
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