What is momentum investing? | iShares – BlackRock
Unlike our other factor funds, momentum is the only factor where sector constraints are not applied.
Academic research3 has found momentum at the security level, industry/sector level, and at the asset class level; so, it is important not to limit sectors when capturing momentum in a portfolio.
But it is important to consider diversification within a momentum strategy to avoid an overconcentration in single stocks. To reduce this risk, the index puts a limit on the weighting of each single stock.
Rebalance frequency
The MSCI Momentum Indexes are rebalanced quarterly, balancing the cost of trading with the need to update momentum exposure frequently.4
The index can also rebalance at times other than the scheduled periods if market…
