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Quant Trade Betting on Past Winners Suffers Record Exodus

  • Nearly $1.6 billion left momentum-focused ETFs last month
  • Pure momentum portfolio falls to lowest in over two years

Exchange-traded fund investors just threw in the towel on a strategy that bets this year’s winners will keep on winning.

Almost $1.6 billion was withdrawn from momentum-focused ETFs in October, the most for any month on record, according to Bloomberg Intelligence data going back to 2012. The outflows were the biggest of any smart-beta segment last month, and marked a change of pace after two quarters of net inflows, the data showed.