The S&P Momentum Indices measure the performance of securities which were among the best performing quintile or rank on the basis of risk-adjusted price performance during the specified prior measurement period. Index constituents are weighted by the product of their market capitalization and their momentum score, subject to the constraints defined in Constituent Weightings. The S&P Momentum Indices are constructed from the constituents of the S&P Global BMI or other headline universe index.
The S&P 500® Momentum is designed to measure the performance of securities in the S&P 500 universe that exhibit persistence in their relative performance.
For this data source, RIMES hosts the S&P 500 Momentum Index.
Some of the data items available include the following:
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