The momentum factor is one of a slew of investment factors that the smart beta boom has made more accessible via exchange-traded funds (ETFs). That group includes the popular iShares Edge MSCI USA Momentum Factor ETF (MTUM). MTUM turns four later this month and is up nearly 9 percent year to date.

Home to 121 stocks, MTUM tracks the MSCI USA Momentum Index, which "measures the performance of U.S. large- and mid-capitalization stocks exhibiting relatively higher momentum characteristics, before fees and expenses," according to iShares. This year, MTUM has been driven higher by quintessential momentum stocks, including Facebook, Inc. (FB) and Amazon.com, Inc. (AMZN). That duo combines for 11 percent of MTUM's lineup, but those are the type of stocks that can languish if volatility rises. (See also: Momentum ETFs: A Good Bet?)

"Should volatility continue to rise, some segments of the market are more vulnerable than others," said BlackRock, Inc. (BLK) in a recent note. "While so-called 'safe haven' bonds and gold are beneficiaries, particularly if growth expectations continue to moderate, there will also be relative winners and losers within equity markets. One of the more vulnerable segments: momentum stocks." (See also: Volatility Begins Falling Again.)

For a dedicated momentum ETF, MTUM's three-year standard deviation of just over 10 percent is arguably low. Plus, some of the ETF's holdings are not typically associated with the "momentum" label, such as Dow components Johnson & Johnson (JNJ) and The Procter & Gamble Company (PG). MTUM allocates 39.4 percent of its weight to technology stocks, a sector that typically looms large in momentum. (See also: Top Five Smart Beta Momentum ETFs.)

That technology allocation is nearly triple MTUM's second largest sector weight, which is healthcare. MTUM's almost 9 percent weight to consumer discretionary names is perhaps light among momentum ETFs. Conversely, the ETF's nearly 10 percent weight to consumer staples is arguably high among momentum strategies. MTUM's healthcare and consumer staples exposure could help the ETF remain steady if volatility creeps higher, a scenario that has historically weighed on the momentum factor.

"From 1990 to the end of the financial crisis, monthly changes in volatility explained approximately 30 percent of the monthly variation in momentum returns, with momentum more likely to post negative returns when volatility is rising," according to BlackRock. "In addition to hurting absolute returns, historically, momentum has tended to underperform less volatile styles, notably quality, during periods of heightened market stress. From 1990 to present, momentum typically outperformed quality during normal market conditions, defined as periods of falling, stable or gently rising volatility." (See also: Riding the Momentum Investing Wave.)

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