S&P Dow Jones Indices (S&P DJI), a provider of financial market indices, has launched a factor-based index family S&P Momentum Indices, designed to measure the performance of securities that exhibit persistence in their relative performance in the global equity markets.
The rollout strengthens further S&P DJI’s world-class factor-based index fleet by capturing the important and well-documented factor of momentum.
The momentum factor reflects the theory that relative strength strategies that rank stocks based on their past returns predict relative performance over the next 3-12 months. The S&P Momentum Indices solely comprise constituents with high risk adjusted price return momentum scores. The objective is to measure momentum in various markets through a transparent and rule-based methodology, while at the same time, ensuring reasonable levels of liquidity, capacity and turnover.
“A complement to our existing single factor indices, this latest series supports greater choices to investors who wish to leverage momentum within a strategic allocation portfolio of alternative beta strategies, or for a tactical strategy when market conditions are favorable,” says Vinit Srivastava, Senior Director of Strategy Indices at S&P Dow Jones Indices.
The S&P Momentum Indices are constructed from the constituents of the S&P Global BMI, a comprehensive, rules-based index measuring global stock market performance.
