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Tag Archives: Multi-Factor

Jun 30, 2022

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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Jun 24, 2022

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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Jun 22, 2022

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.

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Apr 4, 2022

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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Nov 10, 2021

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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Sep 20, 2021

S&P MAESTRO 5 Index: A Sophisticated Composition Designed to Simplify Risk Management

Get to know the S&P MAESTRO 5 Index, a diversified, multi-asset, multi-factor risk parity strategy designed to help investors hit the right notes across a range of market conditions.

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Aug 3, 2021

Introducing the S&P QVM Top 90% Multi-factor Indices

Earlier this year, S&P DJI launched three S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the “S&P QVM Top 90%” Indices) across our large-cap, mid-cap, and small-cap universes. Each of these indices is tracked by an ETF. Compared to S&P DJI’s other flagship multi-factor indices, this new series represents a differentiated approach to multi-factor…

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Sep 15, 2020

The S&P Global REIT QVM Multi-Factor Index Part II – Performance, Country Composition, and Factor Exposure

In the previous blog, we introduced the construction process of the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. In this blog, we look into the empirical results of the strategy. Performance Rebasing the two indices to 100 on June 30, 1999, the S&P Global REIT QVM Multi-Factor Index reached 999.42 on Aug….

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Sep 14, 2020

The S&P Global REIT QVM Multi-Factor Index Part I – Strategy Construction Process

In this blog (and in a subsequent post), we will introduce the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. This index integrates individual quality, value, and momentum factor scores into one composite and is designed to capture multi-factor equity premia. In essence, the strategy seeks to include companies with the following characteristics:…

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Sep 2, 2020

Changes to the S&P/ASX 300 Shareholder Yield Index Explained

The S&P/ASX 300 Shareholder Yield Index consists of the 40 stocks from the S&P/ASX 300 with the highest shareholder yield, which is a combination of dividend yield and buyback yield. In order to achieve sustainable performance, the eligible stocks are screened for liquidity, free cash flow, and dividend growth. After consultations with market participants, S&P…

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