The MomentumShares U.S. Quantitative Momentum ETF is an actively managed fund that employs a systematic process to identify stocks for investment.The process consists of 5 sequential steps:
1. Identify Investable Universe: Our universe generally consists of mid to large
capitalization U.S. exchange traded stocks.
2. Generic Momentum Screen: We screen stocks within our universe on their past
twelve-month returns, ignoring the previous month.
3. Momentum Quality Screen: We screen high momentum stocks on the “quality” of
their momentum—we focus on stocks with a “smoother” return path towards their
high momentum status.
4. Momentum Seasonality Screen: We take advantage of certain seasonal aspects
applicable to momentum investing—this step determines the timing of our
5. Invest: We seek to invest in stocks with the highest quality momentum.