Momentum Investing

Buying what's been rising and selling what's been falling, betting trends persist.

Momentum investing buys recent winners and avoids recent losers, on the well-documented tendency of price trends to persist for months. It is one of the most robust anomalies in market history — puzzling to efficient-market theory, since past prices are public information — and a pillar of quantitative investing. The strategy's dark side is the 'momentum crash': when trends reverse sharply, as in 2009, crowded momentum portfolios can suffer their years of gains unwinding in weeks.

The fund's momentum investing screen buys the strongest 10% of stocks by twelve-month performance and re-sorts monthly.