Investment Universe
The investment universe for the AQR International Momentum Index is the top 85% of stocks by market capitalization of each of the 19 major developed markets outside the U.S.*
Index Objective
Measures the total return of stocks with positive momentum in developed markets outside the U.S. 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.
Index Methodology*
The AQR International Momentum Index is constructed based on the investment universe defined above using the following methodology:
1. All the stocks in the investment universe are ranked by the total return over the prior 12 months excluding the last one.
2. The top 33% stocks with the highest rank are selected for inclusion.
3. The selected stocks are weighted by market capitalization.
4. The index is reconstituted quarterly.
Other Benchmark Indices
Other indices based on a similar investment universe include the MSCI World ex-USA Index, the MSCI World ex-USA Value Index and the MSCI World ex-USA Growth Index. Among these, the AQR International Momentum Index has the highest correlation to the MSCI World ex-USA Growth Index.
(*) See index methodology for more details