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ISTOXX INDICES

iSTOXX MUTB Global ex Japan Momentum 600

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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 (JPY bn) Components (JPY bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX MUTB Global ex Japan Momentum 600 N/A 17,500.5 29.3 28.7 118.1 11.2 0.7 0.1 83.8
STOXX Global 1800 ex Japan 11,026,979.4 10,206,423.5 7,363.9 2,495.1 541,927.3 179.9 5.3 0.0 2.6

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 ex Japan Momentum 600 2.8 27.5 29.0 46.9 105.8 N/A N/A 29.0 13.7 15.5
STOXX Global 1800 ex Japan 3.2 29.0 28.9 63.1 131.9 N/A N/A 29.5 17.9 18.5
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Global ex Japan Momentum 600 N/A N/A 15.5 18.4 20.4 N/A N/A 1.4 0.5 0.6
STOXX Global 1800 ex Japan N/A N/A 16.2 19.1 21.8 N/A N/A 1.4 0.7 0.7
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Global ex Japan Momentum 600 0.9 0.9 0.9 0.9 0.9 6.9 6.1 6.2 7.6 8.0
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Global ex Japan Momentum 600 0.8 0.9 0.9 0.9 0.9 -0.9 -0.2 -0.1 -0.6 -0.4

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

2Based on EURIBOR1M

(JPY, Price), all data as of November 29, 2024

ISTOXX INDICES

iSTOXX MUTB Global ex Japan 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 ex Japan Momentum 600 18.3 15.8 16.4 16.4 2.2 2.8 1.4 10.4
STOXX Global 1800 ex Japan 27.3 21.9 25.0 25.0 4.0 1.8 2.6 25.7

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
Price EUR CH0421048346 ISMGXJMP .ISMGXJMP
Gross Return EUR CH0421048544 ISMGXJMG .ISMGXJMG
Net Return EUR CH0421048528 ISMGXJMN .ISMGXJMN
Price JPY CH0421048353 ISMGXJMY .ISMGXJMY
Gross Return JPY CH0421048395 ISMGXJMT ISMGXJMT INDEX .ISMGXJMT
Net Return JPY CH0421048452 ISMGXJMR .ISMGXJMR
Gross Return USD CH0421048411 ISMGXJMU .ISMGXJMU
Price USD CH0421048320 ISMGXJML .ISMGXJML
Net Return USD CH0421048551 ISMGXJMV .ISMGXJMV

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.

Top 10 Components4

Company Supersector Country Weight
APPLOVIN A Technology USA 0.675%
MICROSTRATEGY Technology USA 0.628%
TEXAS PACIFIC LAND CORP Energy USA 0.423%
VISTRA Utilities USA 0.421%
CARVANA 'A' Retail USA 0.393%
COINBASE GLOBAL A Financial Services USA 0.374%
PALANTIR TECHNOLOGIES A Technology USA 0.349%
PRO MEDICUS Health Care Australia 0.315%
AXON ENTERPRISE Industrial Goods and Services USA 0.313%
VERTIV HOLDINGS A Technology USA 0.312%

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

4Based on the composition as of November 29, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.