LIMEYARD Swiss Momentum Factor 60 (PR)

The LIMEYARD Swiss Momentum Factor 60 is designed to reflect the systematic elements of an equity momentum investment strategy.

Key Features
 
Universe The LIMEYARD Swiss Momentum Factor is a fixed-component index with 60 constituents that represent companies from the LIMEYARD Swiss market universe, with the aim to reflect the performance of an equity momentum strategy. High-momentum stocks tend to show a continuation of their superior price performance pattern over the near term, typically over a six- to twelve-month period. The focus on both a six- and twelve-month time horizon ensures consistency in capturing a momentum effect among index constituents by picking those securities that show a continuation in the performance trend and skipping those securities that experience a reversion in performance.

The LIMEYARD Swiss Momentum Factor computes a Momentum Score for each security calculated by combining Z-Scores of four variables.

The applicable universe includes all the existing constituents of the underlying LIMEYARD Swiss universe with a free-float market cap greater than or equal to 100 million Swiss francs.

The LIMEYARD Swiss Momentum Factor applies a 10%-cap factor on individual index components.
Weighting scheme Momentum score weighting
Type of calculation End of day
Review Quarterly
Index
Last close
Change
MOM
LYCHM6SP
203.32
  -
1.55% Compare
 
Index Parameters

Market Capitalisation values are updated daily

Launch Date 07 Dec 2017
Calculator LIMEYARD LTD
Dissemination End of Day
Dissemination Period - CET
TypeEquity Index
CurrencyCHF
Components60
Base Date24 Sep 2007
Base Value 100
Full Market Cap
Free Float market Cap
Next Review
Non Dissemination Days

01/01/2018

02/01/2018

30/03/2018

02/04/2018

01/05/2018

10/05/2018

21/05/2018

01/08/2018

25/12/2018

26/12/2018

Identifiers
Price Return
Net Total Return
Gross Total Return
ISIN
Sedol
WKN
Bloomberg
Reuters
Telekurs
CH0397638831
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Components
The LIMEYARD Swiss Momentum Factor 60 (PR) counts currently 60 components.

For more details please contact us
Date: May 19, 2019
out of: 0
Components
Currency
Country
Weight
Sector

Factsheet

File

LIMEYARD Swiss Momentum Factor 60 (PR) (CHF)

pdf 125.6 KB

Composition

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General information

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Component information

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History

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History all

csv 93.9 KB

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