“Momentum strategies require frequent rebalancing leading to high turnover and may suffer sharp drawdowns in periods of market turmoil,” Dimitris Melas, Managing Director and Head of New Product Research at MSCI, said in the press release. “The MSCI Momentum Indices address these challenges by incorporating innovative features such as risk-adjusted return calculations and ad-hoc rebalancing triggered by spikes in market volatility. These aim to ensure that the indices capture momentum risk premia with reasonable turnover and moderate drawdowns during periods of high market volatility.”
BlackRock has already tapped the MSCI USA Momentum Index for an iShares fund offering.
For more information on indexing, visit our indexing category.
Max Chen contributed to this article.