Testing ETF Momentum/Reversal Strategies
December 4, 2018 - Momentum Investing
Do exchange-traded funds (ETF) exhibit statistically reliable short-term reversal and intermediate-term momentum? In their October 2018 paper entitled “Momentum Strategies for the ETF-Based Portfolios”, Daniel Nadler and Anatoly Schmidt look for reversal and momentum in next-month performance of past winners and past losers for the following 13 universes: U.S. Equity ETFs: 28 US equity ETFs with returns available… Keep Reading