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ISTOXX INDICES

iSTOXX MUTB Global Momentum 600

Index Description

The iSTOXX MUTB Momentum Indices aim to capture the performance of companies with the strongest historical price movements. Components are selected according to a momentum score factor which is calculated based on a stock's price movements over the past 12 months and adjusted to account for market beta, size and book-to-price biases.

Key facts

  • Offers exposure to stocks with high momentum factor
  • Built-in safeguards to avoid market beta, size and book-to-price biases
  • Turnover buffer to reduce trading costs
  • Rebalanced quarterly in order to be more reactive to the market

Descriptive Statistics

Index Market Cap (USD bn) Components (USD bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX MUTB Global Momentum 600 N/A 111.6 0.2 0.2 0.3 0.1 0.3 0.1 122.7
STOXX Global 1800 66,552.8 60,500.9 33.6 11.6 2,817.5 1.0 4.7 0.0 2.9

Supersector weighting (top 10)

Country weighting

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX MUTB Global Momentum 600 5.8 14.2 14.2 4.6 52.4 N/A N/A 14.2 1.5 8.8
STOXX Global 1800 4.9 23.2 23.2 21.5 80.4 N/A N/A 23.6 6.8 12.7
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Global Momentum 600 N/A N/A 11.3 14.9 16.3 N/A N/A 0.9 0.0 0.5
STOXX Global 1800 N/A N/A 11.4 15.2 18.0 N/A N/A 1.5 0.4 0.7
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Global Momentum 600 0.7 0.8 0.8 0.9 0.9 6.9 6.8 6.8 7.8 8.2
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Global Momentum 600 0.8 0.8 0.8 0.9 0.8 1.4 -1.2 -1.2 -0.8 -0.5

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(USD, Net Return), all data as of December 29, 2023

ISTOXX INDICES

iSTOXX MUTB Global Momentum 600

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
iSTOXX MUTB Global Momentum 600 15.6 14.0 13.7 13.7 1.7 2.3 1.0 1.6
STOXX Global 1800 21.5 18.6 19.2 19.2 0.1 2.0 2.0 10.7

Performance and annual returns

Methodology

The iSTOXX MUTB Momentum Indices are derived from their respective benchmark index. All REITs are excluded from the universe. A momentum score is calculated for each eligible stock based on 12-month historical price movements. Scores are adjusted to account for market beta, size and book-to-price biases. The stocks with the highest momentum scores are selected for the respective index and weighted accordingly. The indices apply a turnover buffer and are reviewed quarterly.

The detailed methodology including the calculation formula can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Gross Return USD CH0421048387 ISMGMU ISMGMU INDEX .ISMGMU
Price EUR CH0421048429 ISMGMP .ISMGMP
Net Return EUR CH0421048478 ISMGMN .ISMGMN
Gross Return EUR CH0421048569 ISMGMG .ISMGMG
Price USD CH0421048403 ISMGML .ISMGML
Net Return USD CH0421048577 ISMGMV .ISMGMV
Price JPY CH0421048437 ISMGMYP .ISMGMYP
Net Return JPY CH0421048585 ISMGMYN .ISMGMYN
Gross Return JPY CH0421048445 ISMGMYG .ISMGMYG

Quick Facts

Weighting Based on a momentum score
Cap Factor N/A
No. of components 600
Review frequency quarterly
Calculation/distribution realtime 15 sec
Calculation hours 00:00:00 22:00:00
Base value/base date 100 as of Dec. 19, 2003
Inception date Jun. 29, 2018
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

iSTOXX MUTB Global Momentum 600

Top 10 Components4

Company Supersector Country Weight
OKTA CL.A Technology USA 0.251%
Disco Corp. Technology Japan 0.246%
Kawasaki Kisen Kaisha Ltd. Industrial Goods and Services Japan 0.245%
BROADCOM Technology USA 0.242%
SAAB B Industrial Goods and Services Sweden 0.238%
Advantest Corp. Technology Japan 0.238%
LEONARDO Industrial Goods and Services Italy 0.229%
SUPER MICRO COMPUTER Technology USA 0.229%
Kobe Steel Ltd. Basic Resources Japan 0.227%
SCREEN HOLDINGS Technology Japan 0.226%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of December 29, 2023