MTUM tracks the MSCI USA Momentum Index, which selects US large and mid-cap stocks with strong price performance over the past six to twelve months. The index is rebalanced semi-annually, with additional rebalances possible when market volatility changes sharply. Sector weights can shift significantly at each rebalance depending on what the market has recently rewarded. Momentum strategies have tended to do well when market leadership is stable and to suffer when leadership reverses, because the portfolio may hold recent winners just as they begin to lag. Turnover is higher than in most index funds, so the holdings can look very different from one rebalance to the next.
