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Alpha Architect launches MomentumShares US Quantitative Momentum ETF

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Alpha Architect has launched its third active exchange-traded fund, the MomentumShares US Quantitative Momentum ETF, which will invest primarily in US equity securities the Advisor believes to be the stocks in the market with the highest quality momentum.

Alpha Architect already manages two funds, QVAL and IVAL, which have collective assets of approximately USD66 million as of 30 November, 2015. QMOM anticipates transferring assets from its separately managed accounts into the Fund. The managed account capital’s sources are high-net-worth clients of the Fund’s Advisor, Alpha Architect.
 
“We believe our edge is robust: we design systematic investment programs that seek to exploit mispricing caused by irrational investors,” says Founder and CIO, Wesley R Gray, PhD. “We invest the majority of our resources in research and development, with a focus on understanding how investor psychology affects stock prices. QMOM seeks to exploit the so-called momentum anomaly in a systematic, high-conviction, tax-efficient, and affordable way.”
 
Dr Gray and Dr. Vogel, co-CIOs of Alpha Architect, started developing their momentum algorithm soon after they completed development on their Quantitative Value algorithm in 2012. The philosophy underlying the Quantitative Momentum algorithm will be published by John Wiley & Sons in late 2016, QUANTITATIVE MOMENTUM: A Practitioner’s Guide to Building a Momentum-Based Stock Selection System.
 
QMOM joins a small number of concentrated, active, and momentum-based ETFs currently in the marketplace. QMOM may invest in securities of companies in any industry and with any market capitalisation. The Fund will invest in approximately 50 of the top US equity securities as determined by its Quantitative Momentum system.
 
Dr Gray says: “We could have gone the ‘Smart Beta’ route and built a closet-index strategy that holds 100, 200, or more stocks. However, investors are paying us to take active bets; they are not paying us to deliver what is effectively a Vanguard S&P 500 ETF with a small tilt towards some factor.”

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