DWAS, small cap momentum was released just over a year ago. The fund holds 200 small-cap stocks ranked with a proprietary relative strength algorithm, rebalanced quarterly.
Fama-French small-cap high-momentum holds the intersection of the small-cap half of the market and stocks in the top third by 12 month price change. Returns since 1975 were shown in the previous post (22% CAR).
Daily returns correlate 84% since launch. The distribution is shown below:
A cubic spline is the first reasonable fit due to the non-linearity at the outliers. The bulk of the daily changes are within +/- 1% and the slope in this region is very close to 1 therefore the ETF tracks Fama-French very well so far.
There is also an all-cap momentum ETF with a longer history. I will analyze that in a later post.