Cambria Investments, the Los Angeles based fund manager better known for its alternative investment strategies, recently launched their fourth product that targets global momentum while adopting a quantitative strategy concurrently.
The Cambria Global Momentum ETF (GMOM) is the second actively-managed fund from Cambria while the other two passively-managed funds are based on in-house indexes and focuses on value and shareholder yield.
GMOM follows a fund of funds strategy and succeeds the AdvisorShares Morgan Creek Global Tactical ETF (GTFF), which Cambria stopped sub-advising in June. The new fund aims at providing income as well as capital growth by using a multi-asset strategy with momentum play and invests in other ETPs (exchange-traded products), Real Estate Investment Trusts (REITs) and closed-ended funds.
It comprises of 17 holdings that represent the top 33 percent of approximately 50 ETFs of the target universe and are based on trailing momentum and trend. The fund is rebalanced monthly and the constituents are selected from a basket of domestic and foreign stocks, bonds, commodities, real estate and currencies.
GMOM has a risk management strategy in place that allows it to shift between asset classes and is not constrained by asset class or geography. If high momentum asset classes trade below their long-term trends, the fund quickly moves its holdings to less volatile asset classes such as fixed-income and cash.
GMOM typically aims to hold at least 40 percent of its portfolio in securities from issuers representing at least three different countries, including the US. Foreign issuers who face significant restrictions for US investors are not considered for inclusion. The fund’s top three holdings include the Vanguard Extended Duration Treasury ETF (EDV), iShares 20+ Years Treasury ETF (TLT) and Vanguard REIT ETF (VNQ) with weights of 6.55 percent, 6.31 percent and 6.06 percent, respectively.
GMOM will have to compete with funds like SPDR S&P 1500 Momentum Tilt ETF (MMTM), iShares MSCI USA Momentum Factor ETF (MTUM) and Dorsey Wright Focus 5 ETF (FV) along with the largest trading momentum ETF – the roughly $1.4 billion PowerShares DWA Momentum Portfolio (PDP). However, none of the competitors, both actively-managed and index-based, are near GMOM’s scope in terms of asset or geographical diversification.
The fund has an annual expense ratio of 0.94 percent.
Disclosure: No holdings