At the sector level, groups meeting MTUM’s momentum requirements include health care, consumer staples and consumer discretionary. That trio combine for nearly 70 of MTUM’s sector weight. MTUM’s smallest sector weights are to utilities, materials, energy and industrial names, a group that combine for less than 10% of the ETF’s weight. The ETF charges a scant 0.15% per year.
“From the index’s hypothetical start in May 1994 to the end of April 2013, it beat the MSCI USA Index by 3.45 percentage points annualized. This is too good to be true. I highly doubt the strategy will produce such excellent results in the future. However, given the weight of the evidence, I think the odds favor MTUM earning some momentum premium in the future,” wrote Lee.
iShares MSCI USA Momentum Factor ETF