FTSE Russell building 'momentum' index range
FTSE Russell, the index provider owned by the London Stock Exchange, is planning to develop a new set of ‘momentum’ indices.
The company is working with analytics firm Trendrating, which has spent five years developing momentum factor strategies for fund managers.
Momentum investing refers to the tendency for winning stocks to keep winning, and losing stocks to keep losing.
Managers hold the winners over a recent period (usually the last six months) then sell short the losers and keep rebalancing.
More than 100 institutional fund managers across Europe, the US and Asia use Trandrating’s momentum metrics.
The new indices will add on to FTSE Russell’s existing range of factor products, including the FTSE Global Factor Index Series and the FTSE Global Diversified Factor Index Series.
Over the last 12 months, Deutsche Bank, J.P. Morgan, O’Shares and State Street Global Advisors have all developed products linked to the indexes.
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