S&P Dow Jones Indices Expands Factor-Based Index Offering with S&P Momentum Indices

New Index Family Enables Investors to Capture Momentum Factor with Precision…  

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S&P Dow Jones Indices has announced the launch of the S&P Momentum Indices, a brand-new factor-based index family designed to measure the performance of securities in the global equity markets that exhibit persistence in their relative performance. This rollout further strengthens 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.
 
“We are proud to add the S&P Momentum Indices into our already established factor-based index offering,” says Vinit Srivastava, Senior Director of Strategy Indices at S&P Dow Jones Indices. “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.”
 
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. The S&P Momentum index family currently consists of 14 headline indices as follows:
 
1.  S&P Momentum Global LargeMidCap
2.  S&P Momentum Developed LargeMidCap
3.  S&P Momentum Developed Ex. U.S. LargeMidCap
4.  S&P Momentum Developed Ex. Japan LargeMidCap
5.  S&P Momentum Emerging LargeMidCap
6.  S&P Momentum Europe LargeMidCap
7.  S&P Momentum Pan Asia LargeMidCap
8.  S&P Momentum Pan Asia Ex. Japan LargeMidCap
9.  S&P Momentum Japan LargeMidCap
10. S&P Momentum United States LargeMidCap
11. S&P Momentum China A-Share
12. S&P Momentum South Africa
13. S&P 500 Momentum
14. S&P Europe 350 Momentum

Source: ETFWorld.com