The $9 billion iShares MSCI USA Momentum Factor ETF is trailing the S&P 500 by the most ever on an annual basis, according to data compiled by Bloomberg. The fund, which seeks exposure to shares exhibiting higher-price trends and at its height commanded more than $18 billion in assets, hasn’t seen a full week of inflows since January. After a $2.9 billion exodus, it’s on pace for the worst year of outflows since its 2013 inception.
“This is the tricky portion with factor ETFs — timing when one works and when another falls out of favor is very challenging,” said Todd Sohn, ETF strategist at Strategas. “With MTUM, their semi-annual balance methodology has missed the bulk of most sector moves, particularly in what feels like an equity market that sees major moves occur within shorter and shorter time frames.”
Factor investing selects companies not by industry, but by specific traits like how fast their prices are moving. MTUM has lost 0.5% this year, compared with a 16% advance in the S&P 500.