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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 110.3 0.2 0.2 0.3 0.1 0.3 0.1 119.5
STOXX Global 1800 71,902.0 65,628.1 36.4 12.0 3,126.9 1.2 4.8 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 4.4 11.3 20.8 8.6 39.1 N/A N/A 20.9 2.8 6.8
STOXX Global 1800 2.9 8.4 22.8 20.7 61.5 N/A N/A 23.4 6.6 10.2
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX MUTB Global Momentum 600 N/A N/A 10.9 14.6 16.3 N/A N/A 1.4 0.1 0.4
STOXX Global 1800 N/A N/A 10.2 14.9 17.9 N/A N/A 1.8 0.3 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX MUTB Global Momentum 600 0.7 0.7 0.8 0.9 0.9 7.4 7.2 6.7 7.8 8.2
Index to benchmark Beta Annualized information ratio
iSTOXX MUTB Global Momentum 600 0.8 0.8 0.9 0.8 0.8 1.6 1.2 -0.4 -0.5 -0.5

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

2Based on EURIBOR1M

(USD, Price), all data as of March 29, 2024

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 16.0 15.4 14.7 14.7 1.8 2.5 1.0 81.0
STOXX Global 1800 23.7 19.4 21.8 21.8 3.2 1.9 2.2 2.3

Performance and annual returns