iShares’ global momentum ETF seeing large inflows

Oct 13th, 2017 | By | Category: ETF and Index News

BlackRock’s European-listed iShares Edge MSCI World Momentum Factor UCITS ETF has recorded significant inflows recently, gaining net new assets of over $500 million between 22 August and 12 October 2017.

iShares’ global momentum ETF seeing large inflows

The iShares Edge MSCI World Momentum Factor UCITS ETF (IWMO) has seen over $500m in net inflows since 22 August 2017.

The fund, which debuted in Europe on the London Stock Exchange in October 2014, has steadily gained investor interest, growing its assets under management (AUM) to $170m by the start of this year.

Having continued to bring in a steady stream of new assets throughout the first half of the year, there was a spike in investor interest between 22 August and 5 September, when approximately $390m net new assets flowed into the fund, raising total assets to $770m. It has since attracted a further $130m in net new assets, and currently boasts AUM of $940m (12 October 2017).

The ETF tracks the MSCI World Momentum Index, a sub-set of MSCI World stocks that have been experiencing an upward price trend.

A momentum value is determined for each stock in the MSCI World by combining the stock’s recent 12-month and 6-month local price performance. This momentum value is then risk-adjusted to determine the stock’s momentum score. Currently, 346 securities with the highest momentum scores are included in the MSCI World Momentum Index, generally covering about 30% of the parent index market cap. Constituents are weighted by the product of their momentum score and their market cap, with weights capped at 5%.

As of 12 October 2017, the index is heavily weighted towards the US with over 70% allocation, while the next largest country exposures are to the UK (5.2%), France (4.4%) and Japan (3.5%). This is notably different to the MSCI World’s country exposures: US (58.9%), Japan (8.6%), UK (6.7%) and France (4.0%).

The MSCI Momentum index also differs notably compared to the MSCI World in its sector exposures. Most notably, information technology is the largest exposure in the Momentum index at 30.0%, compared to 16.2% for the parent index. The Momentum index is also overweight on financials (22.8% vs. 18.1%), consumer discretionary (16.8% vs. 12.1%), and industrials (15.9% vs. 11.5%).

The fund has performed well this year, significantly outperforming the parent MSCI World – IWMO has returned 25.4% year-to-date, compared to 17.3% for the iShares MSCI World UCITS ETF (LON: IWRD).

The ETF is physically replicating using an optimisation approach and has a total expense ratio (TER) of 0.30%. It trades on London Stock Exchange in USD (IWMO) or GBP (IWFM), on SIX Swiss Exchange in USD (IWMO), on Deutsche Börse’s Xetra in EUR (IS3R), and on Borsa Italiana in EUR (IWMO).

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