MTUM owns the 125 U.S. stocks with the strongest price momentum over the past 6 and 12 months, betting that recent winners keep winning. This systematic approach captures the momentum factor premium that academics have documented for decades.
How It Works
The fund scores large and mid-cap stocks on risk-adjusted price performance over both 6 and 12-month periods, then weights the top 125 by momentum score times market cap. It rebalances semi-annually in May and November, creating significant turnover as momentum leaders change. The methodology excludes the most recent month to avoid reversal effects.
Key Features
- Pure momentum exposure with 100%+ annual turnover vs 20-30% for typical growth funds
- Semi-annual rebalancing captures medium-term trends while avoiding monthly whipsaws
- Often concentrated in 3-5 sectors that are working, unlike diversified growth strategies
Risks
- Momentum crashes hard in reversals — lost 40%+ in Q4 2018 and March 2020 selloffs
- Extreme sector concentration — can be 40%+ in tech or 30%+ in energy depending on trends
- High turnover generates significant tax drag in taxable accounts, often 2-3% annually
Who Should Own This
Best for tactical allocators who can stomach 30-40% drawdowns and want pure factor exposure for a momentum sleeve. Works well paired with value or quality factors to smooth returns. Tax-deferred accounts only — the turnover makes this toxic in taxable portfolios.