JMOM: Lagging The S&P 500 Momentum Index

seekingalpha08-31

JPMorgan U.S. Momentum Factor ETF selects Russell 1000 stocks based on 12-month risk-adjusted returns.The JMOM ETF is well-diversified across holdings, and has a sector breakdown close to its parent ...

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It has 283 holdings, a 30-day SEC yield of 0.82% and an expense ratio of 0.12%. As described in the prospectus by JPMorgan Asset Management, constituents are selected in the Russell 1000 index based on a momentum factor. More specifically, the underlying index…","collect":0,"end_time":0,"defaultTopTitle":"seekingalpha.com","property":[],"viewcount":null,"language":"en","relate_stocks":{"SSO":"两倍做多标普500ETF","IE0034235303.USD":"PINEBRIDGE US RESEARCH ENHANCED CORE EQUITY \"A\" (USD) ACC","LU1201861249.SGD":"Natixis Harris Associates US Equity PA SGD-H","LU0211331839.USD":"FRANKLIN MUTUAL GLB DISCOVERY \"A\" (USD) ACC","SPXU":"三倍做空标普500ETF","BK4504":"桥水持仓","SH":"标普500反向ETF","LU0980610538.SGD":"Natixis Harris Associates US Equity RA SGD-H","LU1280957306.USD":"THREADNEEDLE (LUX) US CONTRARIAN CORE EQUITIES \"AUP\" (USD) INC","OEF":"标普100指数ETF-iShares","VFMO":"Vanguard U.S. Momentum Factor ETF","UPRO":"三倍做多标普500ETF","IVV":"标普500指数ETF","SPY":"标普500ETF","IE00BHPRN162.USD":"BNY MELLON BLOCKCHAIN INNOVATION \"B\" (USD) ACC","PDP":"Invesco Dorsey Wright Momentum ETF","BK4588":"碎股","SPMO":"Invesco S&P 500 Momentum ETF","MTUM":"MSCI美国动量因素ETF-iShares Edge","IE00B3S45H60.SGD":"Neuberger Berman US Multicap Opportunities A Acc SGD-H","LU0267386448.USD":"FIDELITY FIRST ALL COUNTRY WORLD \"A\" (USD) INC","IE00BKDWB100.SGD":"PINEBRIDGE US LARGE CAP RESEARCH ENHANCED \"A5H\" (SGDHDG) ACC","IWB":"罗素1000指数ETF-iShares","LU0256863811.USD":"ALLIANZ US EQUITY \"A\" INC","LU1914381329.SGD":"Allianz Best Styles Global Equity Cl ET Acc H2-SGD","QMOM":"Alpha Architect U.S. Quantitative Momentum ETF","FDN":"First Trust Dow Jones Internet I","IE00BBT3K403.USD":"LEGG MASON CLEARBRIDGE TACTICAL DIVIDEND INCOME \"A(USD) ACC","LU0106831901.USD":"贝莱德世界金融基金A2","LU0211327993.USD":"TEMPLETON GLOBAL EQUITY INCOME \"A\" (USD) ACC","IE00B775SV38.USD":"NEUBERGER BERMAN US MULTICAP OPPORTUNITIES \"A\" (USD) ACC","OEX":"标普100","IE00BJTD4N35.SGD":"Neuberger Berman US Long Short Equity A1  Acc SGD-H","IE0034235188.USD":"PINEBRIDGE GLOBAL FOCUS EQUITY \"A\" (USD) ACC","LU0683600562.USD":"AB SELECT US EQUITY \"A\" (USD) ACC","SDS":"两倍做空标普500ETF",".SPX":"S&P 500 Index","JMOM":"JPMorgan US Momentum Factor ETF","LU0320765646.SGD":"FTIF - Franklin Income A MDIS SGD-H1","IE00B1XK9C88.USD":"PINEBRIDGE US LARGE CAP RESEARCH ENHANCED \"A\" (USD) ACC","BK4581":"高盛持仓","LU0310799852.SGD":"FTIF - Templeton Global Equity Income A MDIS SGD","LU0648001328.SGD":"Natixis Harris Associates US Equity RA SGD","LU":"陆金所","IE000M9KFDE8.USD":"NEUBERGER BERMAN US LARGE CAP VALUE \"A\" (USD) ACC","LU0203347892.USD":"SCHRODER ISF QEP GLOBAL ACTIVE VALLUE \"A\" (USD)  INC AV","VOO":"Vanguard标普500ETF","LU0251131958.USD":"FIDELITY AMERICA \"A\" (USD) ACC"},"translate_title":"JMOM：落后于标普500动量指数","themeId":null,"isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{"VOO":1,"JMOM":1,"IWB":1,"MTUM":1,"PDP":1,"QMOM":1,"SPMO":1,".SPX":1,"SPY":1,"VFMO":1,"FDN":0.9,"OEF":0.6,"OEX":0.6,"SDS":0.6,"SH":0.6,"SPXU":0.6,"SSO":0.6,"UPRO":0.6,"ESmain":0.6,"IVV":0.6,"LU":0.6},"content_text":"JPMorgan U.S. Momentum Factor ETF selects Russell 1000 stocks based on 12-month risk-adjusted returns.The JMOM ETF is well-diversified across holdings, and has a sector breakdown close to its parent index, overweight in technology.JMOM is also close to the Russell 1000 in valuation, a good point for a momentum fund, and in performance, which is disappointing.JMOM ranks well among other momentum ETFs, but it has significantly underperformed SPMO, tracking the S&P 500 Momentum Index.   simoncarter JMOM strategy JPMorgan U.S. Momentum Factor ETF (NYSEARCA:JMOM) started investing operations on 11/08/2017 and tracks the JPMorgan US Momentum Factor Index. It has 283 holdings, a 30-day SEC yield of 0.82% and an expense ratio of 0.12%. As described in the prospectus by JPMorgan Asset Management, constituents are selected in the Russell 1000 index based on a momentum factor. More specifically, the underlying index… ...targets equity securities which have higher risk-adjusted returns relative to those of their sector peers over a twelve month period. The twelve month returns are divided by the twelve month volatility of the returns to get the risk-adjusted returns. The portfolio turnover rate in the most recent fiscal year was 43%. This article will use as a benchmark the parent index Russell 1000, represented by iShares Russell 1000 ETF (IWB). JMOM portfolio The portfolio is almost exclusively invested in U.S. companies (about 99% of asset value), with a focus on large and mega caps (61%). JMOM is overweight in technology and communication. Its sector breakdown is quite close to the parent index. Compared to the Russell 1000, JMOM is moderately overweight consumer discretionary, industrials, and underweight financials and consumer staples. Selecting stocks relative to their sector peers makes the sector composition less dependent on sector rotations and market cycles, but on the downside it limits the concentration in trending industries.   Sector breakdown (chart: author; data: JP Morgan, iShares) The current top 10 holdings, listed in the next table, represent 18.2% of asset value. The heaviest position weighs 2.2%, so risks related to individual companies are low. JMOM is less concentrated than IWB, where the top 3 names weigh between 5% and 7%.   Ticker Name Weight% EPS growth %TTM P/E TTM P/E fwd Yield%   BRK.B Berkshire Hathaway, Inc. 2.22% -21.04 14.90 23.24 0   LLY Eli Lilly & Co. 2.06% 12.95 117.44 57.82 0.55   META Meta Platforms, Inc. 1.98% 128.32 26.46 24.38 0.39   AAPL Apple, Inc. 1.83% 10.38 34.99 34.28 0.44   MSFT Microsoft Corp. 1.80% 21.86 35.01 31.25 0.73   GOOGL Alphabet, Inc. 1.76% 47.48 23.21 21.18 0.49   AVGO Broadcom Inc. 1.74% -26.54 67.51 32.69 1.34   NVDA NVIDIA Corp. 1.72% 414.59 55.21 41.96 0.03   COST Costco Wholesale Corp. 1.58% 19.53 54.96 54.70 0.52   UNH UnitedHealth Group, Inc. 1.53% -32.34 39.11 21.36 1.42   Click to enlarge Data: Portfolio123. Fundamentals Usually, momentum funds have pricey valuation ratios. Unexpectedly, JMOM is on par with the Russell 1000 based on price/earnings and cheaper in price/sales, as reported in the next table. Price/cash flow and price/book ratios are a bit higher, though. Growth rates are superior to the benchmark. The cash flow growth looks especially good.     JMOM IWB   Price/Earnings TTM 25.73 25.97   Price/Book 5.14 4.41   Price/Sales 2.3 2.87   Price/Cash Flow 18.56 17.72   Earnings growth 23.29% 22.28%   Sales growth 10.05% 8.61%   Cash flow growth 17.41% 8.62%   Click to enlarge Performance Since its inception, JMOM has followed quite closely its parent index, as plotted on the chart below. It looks marginally more volatile, but the gap in total return is hardly significant (less than 3% in almost 7 years).   JMOM vs. IWB, since 11/09/17 (Seeking Alpha) Nevertheless, JMOM is 5.1% ahead of IWB over the last 12 months:   JMOM vs. IWB, 12-month return (Seeking Alpha) JMOM vs. competitors The next table compares characteristics of JMOM and five momentum ETFs with a tilt to large companies:  Invesco S&P 500 Momentum ETF (SPMO) iShares MSCI USA Momentum Factor ETF (MTUM) Invesco Dorsey Wright Momentum ETF (PDP) Vanguard U.S. Momentum Factor ETF (VFMO) Alpha Architect U.S. Quantitative Momentum ETF (QMOM).      JMOM SPMO MTUM PDP VFMO QMOM   Inception 11/8/2017 10/9/2015 4/16/2013 3/1/2007 2/13/2018 12/1/2015   Expense Ratio 0.12% 0.13% 0.15% 0.62% 0.13% 0.29%   AUM $1.09B $2.30B $9.85B $1.25B $641.86M $246.09M   Avg Daily Volume $3.24M $82.80M $130.13M $1.45M $4.62M $1.07M   Holdings 283 102 128 102 615 52   Top 10 18.20% 65.10% 44.22% 25.09% 11.90% 21.94%   Turnover 43.00% 81.00% 111.00% 97.00% 73.00% 193.00%   Click to enlarge Data: Seeking Alpha. JMOM has the cheapest fee by a very short margin. The next chart plots total returns, starting on 2/15/2018 to match all inception dates. JMOM comes in second position, significantly behind SPMO.   JMOM vs competitors, since 2/19/2018 (Seeking Alpha) In 2024 to date, The JPMorgan fund is in the middle of the pack:   JMOM vs SPMO, year-to-date (Seeking Alpha) Takeaway  JPMorgan U.S. Momentum Factor ETF selects Russell 1000 stocks based on 12-month risk-adjusted return. JMOM is well-diversified across holdings, but overweight in technology, with a sector breakdown close to its parent index. JMOM is also close to the benchmark in valuation (a good point for a momentum fund) and in return since inception (which is disappointing in the context of a strong bull market). JMOM ranks well among other momentum ETFs, but it has significantly underperformed the S&P 500 Momentum Index, tracked by SPMO.","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":0},"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":"4.28.3","shortVersion":"4.28.3","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/2463977177"}