MSCI ACWI MOMENTUM INDEX (USD)
The MSCI ACWI Momentum Index is based on MSCI ACWI, its parent index, which includes large and mid cap stocks across 23 Developed Markets (DM) and 24 Emerging Markets (EM) countries*. It is designed to reflect the performance of an equity momentum strategy by emphasizing stocks with high price momentum, while maintaining reasonably high trading liquidity, investment capacity and moderate index turnover.
CUMULATIVE INDEX PERFORMANCE - GROSS RETURNS 600
ANNUAL PERFORMANCE (%)
(USD) (DEC 2002 – DEC 2017)
Year
MSCI ACWI Momentum MSCI ACWI
565.72
400
393.65
200
50 Dec 02
Mar 04
Jun 05
Sep 06
Dec 07
Mar 09
Jun 10
Sep 11
INDEX PERFORMANCE — GROSS RETURNS
Dec 12
Mar 14
Jun 15
Sep 16
Dec 17
MSCI ACWI Momentum
MSCI ACWI
34.01 4.76 2.40 6.38 27.45 18.14 2.45 16.30 19.86 -44.95 24.78 23.32 26.84 21.91
24.62 8.48 -1.84 4.71 23.44 16.80 -6.86 13.21 35.41 -41.85 12.18 21.53 11.37 15.75
2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
FUNDAMENTALS
(%) ( DEC 29, 2017 )
( DEC 29, 2017 )
ANNUALIZED 1 Mo
3 Mo
1 Yr
YTD
3 Yr
5 Yr
10 Yr
Since Jun 30, 1994
Div Yld (%)
P/E
P/E Fwd
P/BV
MSCI ACWI Momentum
0.58
6.83
34.01
34.01
12.86
14.28
6.11
11.63
1.34
23.80
18.44
3.53
MSCI ACWI
1.65
5.84
24.62
24.62
9.89
11.40
5.22
7.64
2.28
20.55
16.34
2.33
INDEX RISK AND RETURN CHARACTERISTICS
( JUN 01, 1994 – DEC 29, 2017 )
ANNUALIZED STD DEV (%) 2 Beta
MSCI ACWI Momentum MSCI ACWI
0.95 1.00
Tracking Turnover Error (%) (%) 1
7.75 0.00
98.07 2.71 1
SHARPE RATIO 2 , 3
MAXIMUM DRAWDOWN
3 Yr
5 Yr
10 Yr
3 Yr
5 Yr
10 Yr
Since Jun 01, 1994
9.90 10.51
9.75 9.93
16.62 16.80
1.22 0.90
1.38 1.10
0.40 0.35
0.59 0.38
Last 12 months
2
Based on monthly gross returns data
3
(%)
Period YYYY-MM-DD
60.44 58.06
2007-10-29—2009-03-09 2007-10-31—2009-03-09
Based on ICE LIBOR 1M
* DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US. EM countries include: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The MSCI ACWI Momentum Index was launched on Feb 15, 2013. Data prior to the launch date is back-tested data (i.e. calculations of how the index might have performed over that time period had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance -- whether actual or back-tested -- is no indication or guarantee of future performance.
MSCI ACWI MOMENTUM INDEX
DEC 29, 2017
INDEX CHARACTERISTICS MSCI ACWI Momentum
Number of Constituents
500
2,499 Weight
Largest Smallest Average Median
TOP 10 CONSTITUENTS MSCI ACWI
APPLE MICROSOFT CORP TENCENT HOLDINGS LI (CN) FACEBOOK A AMAZON.COM JPMORGAN CHASE & CO BANK OF AMERICA CORP ALIBABA GROUP HLDG ADR BOEING CO SAMSUNG ELECTRONICS CO Total
(%)
4.92 0.01 0.20 0.08
1.91 0.00 0.04 0.02
SECTOR WEIGHTS
Country
Index Wt. (%)
Parent Index Wt. (%)
Sector
US US CN US US US US CN US KR
4.92 3.89 2.75 2.55 2.46 2.40 1.90 1.81 1.77 1.77 26.23
1.91 1.36 0.65 0.91 1.04 0.82 0.64 0.43 0.36 0.50 8.63
Info Tech Info Tech Info Tech Info Tech Cons Discr Financials Financials Info Tech Industrials Info Tech
COUNTRY WEIGHTS 11.33%
13.46%
6.52%
6.95%
10.07%
3.55%
2.67%
2.17%
1.38%
14.14%
0.99%
17.87%
0.71% 0.69% 0.31% 40.52%
Information Technology 40.52%
Financials 17.87%
Consumer Discretionary 11.33%
Health Care 10.07%
Consumer Staples 1.38%
Real Estate 0.99%
Industrials 13.46% Materials 2.67%
Energy 0.71%
66.68%
United States 66.68% France 2.17%
China 6.95%
Japan 6.52%
South Korea 3.55%
Other 14.14%
Utilities 0.69%
Telecommunication Services 0.31%
INDEX METHODOLOGY A momentum value is determined for each stock in the MSCI parent index by combining the stock’s recent 12-month and 6-month local price performance. This momentum value is then risk-adjusted to determine the stock’s momentum score. A fixed number of securities with the highest momentum scores are included in each MSCI Momentum Index, generally covering about 30% of the parent index market cap. Constituents are weighted by the product of their momentum score and their market cap. Constituent weights for broad MSCI Momentum Indexes are capped at 5%. The indexes are rebalanced semiannually; in addition, ad hoc rebalancing may occur, triggered by spikes in market volatility.
ABOUT MSCI For more than 40 years, MSCI' research-based indexes and analytics have helped the world' leading investors build and manage better portfolios. Clients rely on our offerings for deeper insights into the drivers of performance and risk in their portfolios, broad asset class coverage and innovative research. Our line of products and services includes indexes, analytical models, data, real estate benchmarks and ESG research. MSCI serves 99 of the top 100 largest money managers, according to the most recent P&I ranking. For more information, visit us at www.msci.com. The information contained herein (the "Information") may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be used to verify or correct other data, to create indexes, risk models, or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information or MSCI index or other product or service constitutes an offer to buy or sell, or a promotion or recommendation of, any security, financial instrument or product or trading strategy. Further, none of the Information or any MSCI index is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Information is provided "as is" and the user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF MSCI INC. OR ANY OF ITS SUBSIDIARIES OR ITS OR THEIR DIRECT OR INDIRECT SUPPLIERS OR ANY THIRD PARTY INVOLVED IN THE MAKING OR COMPILING OF THE INFORMATION (EACH, AN "MSCI PARTY") MAKES ANY WARRANTIES OR REPRESENTATIONS AND, TO THE MAXIMUM EXTENT PERMITTED BY LAW, EACH MSCI PARTY HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. WITHOUT LIMITING ANY OF THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY REGARDING ANY OF THE INFORMATION FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited. © 2018 MSCI Inc. All rights reserved.
MSCI ACWI MOMENTUM INDEX
