QMOM: Research-Based Momentum ETF

seekingalpha05-07

SolStockQMOM strategy Alpha Architect U.S. Quantitative Momentum ETF (NASDAQ:QMOM) is an actively managed ETF launched on 12/1/2015. It has a portfolio of 50 stocks and an expense ratio of 0.29%. The ...

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The ...</p>\n\n<a href=\"https://seekingalpha.com/article/4690097-qmom-research-based-momentum-etf\">Source Link</a>\n\n</div>\n","source":"seekingalpha_fund","html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>QMOM: Research-Based Momentum ETF</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 11px; color: #7E829C; margin: 0;line-height: 11px;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nQMOM: Research-Based Momentum ETF\n</h2>\n\n<h4 class=\"meta\">\n\n\n2024-05-07 22:24 GMT+8&nbsp;&nbsp;&nbsp;<a href=https://seekingalpha.com/article/4690097-qmom-research-based-momentum-etf><strong>seekingalpha</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>SolStockQMOM strategy Alpha Architect U.S. Quantitative Momentum ETF (NASDAQ:QMOM) is an actively managed ETF launched on 12/1/2015. It has a portfolio of 50 stocks and an expense ratio of 0.29%. The ...</p>\n\n<a href=\"https://seekingalpha.com/article/4690097-qmom-research-based-momentum-etf\">Source Link</a>\n\n</div>\n\n\n</article>\n</div>\n</body>\n</html>\n","isBrief":false,"type":0,"news_type":1,"symbol":"QMOM","symbol_name":"Alpha Architect U.S. Quantitative Momentum ETF","start_time":0,"source_url":"https://seekingalpha.com/article/4690097-qmom-research-based-momentum-etf","article_id":"2433789151","we_media_id":null,"thumbnails":["https://static.seekingalpha.com/cdn/s3/uploads/getty_images/872019580/image_872019580.jpg"],"rights":null,"url":"https://stock-news.laohu8.com/highlight/detail?id=2433789151","pubTimestamp":1715091859,"sourceInfo":{"source_id":"seekingalpha_fund","name":"Seeking Alpha"},"weMediaInfo":null,"summary":"SolStockQMOM strategy Alpha Architect U.S. Quantitative Momentum ETF (NASDAQ:QMOM) is an actively managed ETF launched on 12/1/2015. It has a portfolio of 50 stocks and an expense ratio of 0.29%. The ","collect":0,"end_time":0,"defaultTopTitle":"seekingalpha.com","property":[],"viewcount":null,"language":"en","relate_stocks":{"QMOM":"Alpha Architect U.S. Quantitative Momentum ETF","QVAL":"Alpha Architect U.S. Quantitative Value ETF","JMOM":"JPMorgan US Momentum Factor ETF","BK4585":"ETF&股票定投概念","PDP":"Invesco Dorsey Wright Momentum ETF","MTUM":"MSCI美国动量因素ETF-iShares Edge","BK4550":"红杉资本持仓","BK4588":"碎股","VFMO":"Vanguard U.S. Momentum Factor ETF","FDN":"First Trust Dow Jones Internet I","SPMO":"Invesco S&P 500 Momentum ETF","IWB":"罗素1000指数ETF-iShares"},"translate_title":"QMOM：基于研究的动量ETF","themeId":null,"isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{"FDN":1,"IWB":1,"JMOM":1,"MTUM":1,"PDP":1,"QMOM":1,"QVAL":1,"SPMO":1,"VFMO":1},"content_text":"SolStockQMOM strategy Alpha Architect U.S. Quantitative Momentum ETF (NASDAQ:QMOM) is an actively managed ETF launched on 12/1/2015. It has a portfolio of 50 stocks and an expense ratio of 0.29%. The fund’s strategy is inspired by the book Quantitative Momentum (Wiley), whose authors Dr Wesley Gray and Dr Jack Vogel are respectively CEO and CIO of Alpha Architect. I think any investor seriously interested in data-driven investing should read this book, as well as Quantitative Value (Wiley) by Dr Gray and Tobias Carlisle. This other book is at the origin of Alpha Architect U.S. Quantitative Value ETF (QVAL), reviewed here. As described in the prospectus by Alpha Architect, the fund “employs a multi-step, quantitative, rules-based methodology to identify a portfolio of approximately 50 to 200 equity securities with the highest relative momentum”. The investing universe includes stocks traded on a U.S. exchange with a market capitalization of at least $1 billion. REITs, ADRs and stocks with less than 12 months of historical data are excluded. Proprietary screens are used to eliminate stocks with specific characteristics, in particular those with a poor 6-month or 9-month price return or a high beta. Next, the stocks with the highest trailing 12-month return, excluding the most recent month, are highlighted. Finally, a series of screens focused on momentum quality makes the final selection. Constituents are equal-weighted. The portfolio is reconstituted typically every 2 months and at least quarterly. The portfolio turnover rate in the most recent fiscal year was 193%. QMOM portfolio The portfolio has a tilt to mid-cap companies, which weigh about half of asset value. This article will use as a benchmark the Russell 1000 Index, represented by iShares Russell 1000 ETF (IWB). The heaviest sectors are industrials (25.8% of asset value), consumer discretionary (19.2%) and information technology (15.2%). Other sectors are below 10%. Compared to the benchmark, QMOM overweights industrials, consumer discretionary, utilities and materials. It underweights mostly technology, healthcare, communication and energy. Real estate is ignored on purpose by the strategy. The sector breakdown is not structurally linked to the momentum investing style: it may vary depending on sector momentum rotations.   Sector breakdown (chart: author; data: Fidelity, iShares)Positions are in equal weight at every reconstitution, but they may vary with price action. The current top 10 holdings, listed in the next table, represent 20.8% of asset value. All weights are close to 2%, so risks related to individual companies are low.   Ticker Name Weight% EPS growth %TTM P/E TTM P/E fwd Yield%   SFM Sprouts Farmers Market, Inc. 2.16% 24.63 25.91 24.39 0   FTAI FTAI Aviation Ltd. 2.15% 610.44 35.78 40.65 1.53   FICO Fair Isaac Corp. 2.11% 27.09 65.21 52.64 0   VST Vistra Corp. 2.09% 209.14 23.86 18.81 1.05   CRWD CrowdStrike Holdings, Inc. 2.08% 146.22 875.51 80.87 0.00   NRG NRG Energy, Inc. 2.05% -119.02 N/A 12.85 2.09   TOL Toll Brothers, Inc. 2.05% 12.24 9.86 9.34 0.72   EVR Evercore, Inc. 2.04% -35.35 30.31 18.61 1.66   SPOT Spotify Technology S.A. 2.04% 85.10 N/A 60.11 0   ANF Abercrombie & Fitch Co. 2.03% 9999.00 20.80 16.66 0   Click to enlarge Data: Portfolio123 Fundamentals Unexpectedly, the fund is cheaper than the Russell 1000 regarding price/earnings, price/sales and price/cash flow ratios, as reported in the next table. Price-to-book is a bit higher (however, this is one of the least reliable value metrics). Growth rates are superior to the benchmark. The aggregate cash flow growth is especially impressive. We may find very surprising that momentum comes here with good value metrics. However, as I wrote in the previous section, the sector breakdown may vary with sector rotations, and aggregate valuation metrics depend a lot on it.     QMOM IWB   Price/Earnings TTM 20.02 23.91   Price/Book 4.95 4.08   Price/Sales 1.96 2.65   Price/Cash Flow 13.87 16.45   Earnings growth 26.72% 21.43%   Sales growth 12.24% 8.63%   Cash flow growth 61.44% 8.50%   Click to enlarge Performance Since 1/1/2016 QMOM has lagged the Russell 1000 by 1.4% in annualized return. Additionally, risk metrics (volatility and drawdown) are significantly higher, as reported below.     Total Return Annual.Return Drawdown Sharpe ratio Volatility   QMOM 163.05% 12.28% -39.13% 0.56 22.62%   IWB 191.61% 13.68% -34.60% 0.78 16.18%   Click to enlarge Data: Portfolio123 Nevertheless, QMOM is 9.2% ahead of IWB over the last 12 months:   QMOM vs. SPY, 12-month return (Seeking Alpha)QMOM vs competitors The next table compares characteristics of QMOM and five other momentum ETFs:  Invesco S&P 500 Momentum ETF (SPMO) iShares MSCI USA Momentum Factor ETF (MTUM) Invesco Dorsey Wright Momentum ETF (PDP) JPMorgan U.S. Momentum Factor ETF (JMOM) Vanguard U.S. Momentum Factor ETF (VFMO)      QMOM SPMO MTUM PDP JMOM VFMO   Inception 12/1/2015 10/9/2015 4/16/2013 3/1/2007 11/8/2017 2/13/2018   Expense Ratio 0.29% 0.13% 0.15% 0.62% 0.12% 0.13%   AUM $213.65M $1.18B $9.86B $1.23B $887.70M $544.47M   Avg Daily Volume $1.09M $27.13M $170.68M $2.32M $8.55M $4.88M   Holdings 52 102 128 103 280 594   Top 10 20.78% 62.98% 42.77% 24.44% 19.47% 13.09%   Turnover 193.00% 81.00% 111.00% 140.00% 43.00% 73.00%   Click to enlarge Data: Seeking Alpha QMOM is the smallest fund of this group regarding assets under management, the least liquid in dollar volume, and has the highest turnover. The next chart plots total returns, starting on 2/19/2018 to match all inception dates. QMOM had the highest spike in the post-pandemic market recovery, but it is in the middle of the pack for the whole period. SPMO is the best performer.   QMOM vs competitors, since 2/19/2018 (Seeking Alpha)Apart from the 2020-2021 rally, QMOM has steadily underperformed SPMO since its inception in December 2015:   QMOM vs SPMO, since inception (Seeking Alpha)Takeaway  Alpha Architect U.S. Quantitative Momentum ETF is an actively managed fund holding 50 uptrending stocks in equal weight. The portfolio is well diversified across sectors and holdings, but quite heavy in mid-caps and industrials. Surprisingly, QMOM looks attractive regarding both valuation and fundamental growth metrics. However, the fund’s track record is mixed: it has materially outperformed in some time frames (especially in 2024 and in the 2020-2021 rally), but overall performance since inception is underwhelming compared to the S&P 500 Momentum Index (represented by SPMO). In conclusion, I think QMOM is an excellent swing-trading instrument, but an average long-term investment.","kind":null,"is_publish_news":true,"is_publish_highlight":false,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[],"isCommentEnd":true,"newsSizeData":{"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false},"APP":{"userAgent":"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)","isDev":false,"isTTM":true,"deviceId":"web-server-community-laohu8-v3","version":"4.29.2","shortVersion":"4.29.2","platform":"web","vendor":"web","appName":"ttm","isIOS":false,"isAndroid":false,"isTiger":false,"isTHS":false,"isWeiXin":false,"isWeiXinMini":false,"isWeiBo":false,"isQQ":false,"isBaiduSwan":false,"isBaiduBox":false,"isDingTalk":false,"isToutiao":false,"isOnePlus":false,"isHuaWei":false,"isXiaomi":false,"isXiaomiWebView":false,"isOppo":false,"isVivo":false,"isSamsung":false,"isMobile":false},"href":"/m/news/2433789151"}