Tag Archives: Multi-Factor
Multi-Factor Indices in the GCC Market
The Middle East is a rapidly evolving region and one of its key growth areas has been factor indexing. The increasing adoption of these strategies has been driven by a desire for risk reduction, enhanced returns and cost efficiencies. This trend is evident not only in the adoption of single-factor styles but also in multi-factor…
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Introducing the S&P 500 GARP 100 Index
The S&P 500® GARP 100 Index, launched on Nov. 24, 2024, sits at the intersection of value and growth strategies. Its objective is to identify 100 constituents from the S&P 500 that exhibit strong growth while maintaining reasonable valuations and high quality attributes. Methodology The index employs a two-step selection process. First, it identifies the…
Three-Year Live Performance Review of the S&P QVM Top 90% Indices
Three years ago, S&P DJI launched the S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the S&P QVM Top 90% Indices) across the large-, mid- and small-cap U.S. equities segments. These indices have enriched our factor lineup, offering a differentiated approach that selects a high percentage of the universe, while excluding only the lowest-ranked…
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Why Multi-Factor Indices in South Africa?
Burton Malkiel, author of the book A Random Walk Down Wall Street, asserted, “The facts suggest that successful market timing is extraordinarily difficult to achieve.”1 Multi-factor indices may be a way of ensuring you are “in the right place at the right time,” participating throughout market cycles without compromising timing or returns. The S&P DJI…
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Introducing the S&P SmallCap 600 QVML Top 90% Multi-Factor Index
For market participants seeking to measure small-cap, multi-factor equity premia with greater diversification and historically lower tracking error (TE), S&P DJI has recently launched the S&P SmallCap 600® Quality, Value, Momentum and Low Volatility (QVML) Top 90% Multi-Factor Index. In this blog, we will examine the index construction methodology, historic performance, sector composition and factor…
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S&P QVM Top 90% Indices: An Examination of the June 2022 Rebalance
This blog is the second in the quarterly blog series we recently introduced to provide transparency into rebalance adds and drops for our S&P Quality, Value & Momentum Top 90% Multi-factor Indices (S&P QVM Top 90% Indices). The S&P QVM Top 90% Indices seek to track constituents in the top 90% of their universe, ranked…
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Simplicity Yields Outperformance: The S&P 500 Low Volatility High Dividend Index
Last week, the S&P 500® officially entered a bear market, dropping more than 20% from its record close in January. However, not all equity indices suffered comparable losses, and one such example is the S&P 500 Low Volatility High Dividend Index. In fact, this index has outperformed by a wide margin so far in 2022….
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A Closer Look at Indexing Equal Weight
How does indexing equal weight work in times of volatility and inflation? S&P DJI’s Craig Lazzara and Invesco’s Nick Kalivas discuss the key drivers behind equal-weight’s historical outperformance vs. the benchmark and what happens when equal weight is combined with factors and/or ESG. https://youtu.be/Li5cBAqE2Kw
S&P QVM Top 90% Indices: Looking under the Hood of the March 2022 Rebalance
Since their launch in April 2021, the S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the “S&P QVM Top 90% Indices”) have been a great addition to our multi-factor lineup. These indices are designed to track companies in the top 90% of their respective underlying index universe, ranked by their multi-factor score. To support…
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An Efficient, Rules-Based Approach to Factor Rotation
Explore how the design of the S&P 500 Factor Rotator Daily RC2 7% Index is helping democratize access to factor investing, providing a simple, rules-based blueprint for building dynamic factor strategies.
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dynamic rebalancing, factor investing, Factor Rotation, indexing, Indexing insurance, low volatility, multi-asset, risk control 2.0, S&P 500 Enhanced Value, S&P 500 Factor Rotator Daily RC2 7% Index, S&P 500 Factors, S&P 500 High Dividend, S&P 500 Low Volatility, S&P 500 Momentum, S&P 500 Quality, S&P Dow Jones Indices, U.S. Treasuries
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- dynamic rebalancing, factor investing, Factor Rotation, indexing, Indexing insurance, low volatility, multi-asset, risk control 2.0, S&P 500 Enhanced Value, S&P 500 Factor Rotator Daily RC2 7% Index, S&P 500 Factors, S&P 500 High Dividend, S&P 500 Low Volatility, S&P 500 Momentum, S&P 500 Quality, S&P Dow Jones Indices, U.S. Treasuries