Moreover, since momentum strategies can overweight riskier stocks, the ETF could could underperform during another correction. Since defensive stocks typically do better during volatile conditions, the momentum strategy could load up on conservative picks and miss out on the initial recovery in riskier assets.

Year-to-date, MTUM has increased 5.1%, compared to the S&P 500 Index’s 2.9% rise.

iShares MSCI USA Momentum Factor ETF

For more information on ETFs, visit our ETF 101 category.

Max Chen contributed to this article.