QMOM: A Close Look At The Methodology

Summary

• Momentum is one of the best-researched systematic investing strategies and produced significant outperformance in the past.
• Over the last 5 years, the QMOM ETF outperformed the academic benchmark from Kenneth French and several other momentum ETFs.
• The QMOM ETF achieved this by a differentiated momentum-investment process, which I will analyze in this article.
• The QMOM ETF delivered momentum exposure and helps to add momentum to basically all portfolios.

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While momentum started (to the best of my knowledge) as quantitative hedge fund strategy in the late 1990s, it is now widely available for all kinds of investors. Democratization of the strategy was especially driven by the rise of ETFs and market

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