TF Momentum Strategy Index

Last Index Calculation Date: 20.09.19
Index Value: 974.3333
Month to Date: 1.06 %
Year to Date: 4.94 %

The TF Momentum Strategy Index aims to reflect the performance that an investor can generate by investing in a technical algorithmic trading system based on fixed rules. The universe of index components includes listed US and European financial instruments.

Current Composition

Composition Changes

Background Information

Universe of Index Components/b>

The universe includes listed US and European financial instruments. These instruments include equities included in the following indices: Russel 3000, S & P 500, Nasdaq Composite, STOXX Europe 600, HDAX and Cash. In addition, index options and futures on these indices and highly liquid money market funds are part of the universe.

Index Components and their selection

From the entire universe of index components, individual financial instruments can only be added as index components for inclusion in the index if they meet certain selection criteria. These selection criteria are checked by the Index Allocator:

  • Price within one day from an independent third party
  • Sufficiently liquid securities with an acceptable trading volume and market value
  • Acceptable risk

In order to do justice to the focus of the index, by default the allocation of values is only made to those values that are part of the HDAX and the Nasdaq 100. The Index Allocator has discretionary powers to extend the range of instruments to the entire universe of index components.

Allocation of Index Components

The Index Allocator uses a proprietary, quantitative, rule-based and systematic algorithm to determine the allocation of index components.

From the universe of index components, the algorithm selects those stocks with a high relative strength that meet the selection criteria for the index. The algorithm aims to invest in stocks with a long and healthy uptrend. Based on identified signals, the algorithm assigns a weight to the instrument.

Basic data
Identifier: DE000A2G99R9 WKN: A2G99R
Bloomberg Ticker: n/a Index Sponsor: Financial Marketing Advisors GmbH