Bloomberg Launches First of its Kind Global Momentum Strategy Index

The new Bloomberg Global Momentum Diversified Leaders 5% multi-asset index captures momentum across four different time horizons

NEW YORK, Sept. 26, 2023 /PRNewswire/ — Bloomberg today announced the launch of its Bloomberg Global Momentum Diversified Leaders 5% ER Index, which joins Bloomberg’s suite of multi-asset indices as a first of its kind innovation in how momentum index strategies are structured.

Bloomberg (PRNewsfoto/Bloomberg)

The Bloomberg Global Momentum Diversified Leaders 5% multi-asset index has been tailored to capture momentum at four different time horizons across two separate days, picking five index constituents for each momentum window. These ‘momentum leaders’ constituents are then weighted by the inverse of their volatility with a 5% volatility target, ultimately helping to reduce the overall risk in the index.

The index also has broad asset allocation, with eleven instruments across equities, fixed income and commodities. These features together create conditions for strong growth and risk management for investors while still allowing them to benefit from asset diversification. The index was constructed using Bloomberg’s Hypothetical Volatility approach, which more precisely calculates and targets the volatility of the current portfolio using the most recent weights to calculate the risk historically.

“For investors looking for a momentum index strategy today, the majority of offerings are limited either in their time horizon, by only looking at performance over a set period and on a single day, or in their asset allocation, by having a narrow focus on equities,” said Allison Stone, Head of Multi-Asset Product, Bloomberg Index Services Limited. “With the Bloomberg Global Momentum Diversified Leaders 5% multi-asset index, investors can capture momentum leaders across time periods and broad asset coverage – providing investors with richer risk-mitigation controls for more nuanced interests.”

This index has been licensed to Farmers Life Insurance Company for its Harvest fixed index annuity product. The company selected Bloomberg for its ability to build complex, innovative indices backed by dedicated research teams and technology capabilities for index automation.

The launch of the Bloomberg Global Momentum Diversified Leaders 5% multi-asset index and similar offerings are a direct result of Bloomberg’s ongoing investment in leading talent and technological capabilities to build highly complex indices, including a recent expansion of equities history to incorporate the past 20 years’ performance. The combination of Bloomberg’s focus on technology and quant research allows for the creation of custom solutions for clients’ specific needs and drives industry-wide innovation.

Bloomberg Terminal clients can access the index using ticker BGMODL5E Index <GO>. Relevant fact sheets, methodology and research for the new index are available on the Bloomberg Multi-Asset Indices Publications page.

Bloomberg provides an independent, transparent approach to indexing for customers across the globe. Bloomberg clients can access available indices on the Bloomberg Terminal and all research and methodology for the indices are available at

About Bloomberg Index Services Limited

Bloomberg’s index team has a proven track record in creating industry leading and bespoke indices across asset classes, including best in class fixed income and commodity indices. Bloomberg Index Services Limited (BISL) takes an innovative approach to delivering strategic benchmarks that help market participants address their evolving needs. As an integral part of Bloomberg, BISL has access to a comprehensive range of trusted data and reliable technology for calculations, analytics and workflow automation, along with distribution capabilities that can help amplify the visibility of our customers’ products.

About Bloomberg

Bloomberg is a global leader in business and financial information, delivering trusted data, news, and insights that bring transparency, efficiency, and fairness to markets. The company helps connect influential communities across the global financial ecosystem via reliable technology solutions that enable our customers to make more informed decisions and foster better collaboration. For more information, visit or request a demo.

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