The index is designed to measure the performance of a long/short strategy utilizing long positions in high-momentum companies and short positions in low-momentum companies. Momentum is calculated by ranking stocks by their 12-month historical total return, starting one month prior to reconstitution. The index is calculated using long and short indices as its basis. It is designed to be market- and sector-neutral.
Top 10 Constituents by Index WeightExport
*Based on GICS sectors
The weightings for each sector of the index are rounded to the nearest tenth of a percent, therefore, the aggregate weights for the index may not equal to 100%.
*Based on GICS Sectors