A new, factor-based index family designed to measure the performance of securities in the global equity markets that exhibit persistence in their relative performance has been launched by S&P Dow Jones Indices.

The objective of S&P Momentum Indices is to capture 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 exclusively 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.

Vinit Srivastava, senior director of strategy indices at S&P Dow Jones Indices said, “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 favourable.”

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 index family currently consists of 14 headline indices.