The investment universe for the AQR Small Cap Momentum Index is comprised of the 2000 stocks by market capitalization after the 1000 largest U.S. stocks by market capitalization.*
Measures the total return of small cap U.S. stocks with positive momentum. A stock is deemed to have positive momentum if it has performed well in the past relative to other stocks in the same investment universe.
The AQR Small Cap Momentum Index is constructed based on the investment universe defined above using the following methodology:
All the stocks in the Investment Universe are ranked by the total return over the prior 12 months excluding the last one.
The top 33% stocks with the highest rank are selected for inclusion.
The selected stocks are weighted by market capitalization.
The index is reconstituted quarterly.
Other Benchmark Indices
Other indices based on a similar investment universe include the Russell 2000 Index, the Russell 2000 Value Index and the Russelll 2000 Growth Index. Among these, the AQR Small Cap Momentum Index has the highest correlation to the Russell 2000 Growth Index.
(*) See index methodology for more details