Alpha Architect launch MomentumShares U.S. Quantitative Momentum ETF

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
rebalance.
  5. Invest: We seek to invest in stocks with the highest quality momentum.
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