S&P Dow Jones announces launch of new S&P Momentum index family

By Tali Rackner

Norfolk, Va., Dec. 3 – S&P Dow Jones Indices announced the launch of the S&P Momentum indexes, 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, according to a press release.

The momentum factor reflects the theory that relative strength strategies that rank stocks based on their past returns predict relative performance over the next three to 12 months. The index family solely comprises constituents with high risk adjusted price return momentum scores.

According to S&P Dow Jones, 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," senior director of strategy indexes Vinit Srivastava said in the release.

The S&P Momentum indexes are constructed from the constituents of the S&P Global BMI, a comprehensive, rules-based index measuring global stock market performance.

The index family currently consists of 14 headline indexes as follows: S&P Momentum Global LargeMidCap; S&P Momentum Developed LargeMidCap; S&P Momentum Developed Ex. U.S. LargeMidCap; S&P Momentum Developed Ex. Japan LargeMidCap; S&P Momentum Emerging LargeMidCap; S&P Momentum Europe LargeMidCap; S&P Momentum Pan Asia LargeMidCap; S&P Momentum Pan Asia Ex. Japan LargeMidCap; S&P Momentum Japan LargeMidCap; S&P Momentum United States LargeMidCap; S&P Momentum China A-Share; S&P Momentum South Africa; S&P 500 Momentum; and S&P Europe 350 Momentum.

S&P Dow Jones is part of New York-based McGraw-Hill Cos., a resource for index-based concepts, data and research.

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