Tag Archives: pure value

Using GARP Strategies for Indices Part III – Risk and Return

In this blog, the third in our introduction to Growth at a Reasonable Price (GARP) strategies, we look at risk and return. The main objective of the S&P 500® GARP Index is to capture the performance of growth stocks with relatively high quality and value composite scores over a long-term investment horizon. Historically, the GARP Read more […]

Using GARP Strategies for Indices Part II – Constituent Selection

In a previous blog, we took the first and second steps in our Growth at a Reasonable Price (GARP) strategy construction. We introduced the GARP investment strategy and showed how it can be implemented systematically. In this blog, we will take the third and fourth steps: using a multi-factor sequential filtering process for security selection Read more […]

Using GARP Strategies for Indices

In this blog (and three subsequent posts) we will explore using Growth at a Reasonable Price (GARP) principles for investment in indices. GARP is a well-known, much-practiced, fundamental-driven investment strategy. It seeks to balance between the pure growth strategy and pure valuation strategy, as the former tends to chase high growth yet expensive stocks, while Read more […]

Combining Value and Growth in a Pure Style Way

When it comes to style investing, pure style indices that select and weight securities based on their style scores tend to be less correlated with each other, have higher return spreads, and higher betas to the benchmark than the traditional market-cap-weighted style indices that have overlapping securities. Additionally, when one style is favored over the Read more […]

S&P Pure Style Indices: Implications of Higher Return and Correlation Spread

The S&P Style Indices and S&P Pure Style Indices take distinct approaches in differentiating between value and growth factors. In past blogs,[1] we examined how differences in index construction can affect the performance of the indices in both series over a long-term investment horizon. In this blog, we examine how the suite of pure style Read more […]

Style Designed For Performance

Style, the name for the value (growth) factor, is one of the oldest known investment factors.  It can be defined in different ways, but in the S&P Composite 1500 that includes the S&P 500, S&P MidCap 400 and S&P SmallCap 600, style is measured by growth and value along two separate dimensions, with three factors used to Read more […]

Reviewing S&P Pure Style Indices from a Sector Perspective

The S&P Pure Style Indices select and weight securities based on their style scores, unlike the traditional S&P Style Indices. In our previous blog post, we demonstrated that differences in index construction play a major role in the performance differential between the S&P Style Indices and the S&P Pure Style Indices. We estimated that the Read more […]

S&P Pure Style Indices Versus S&P Style Indices: The Impact of Security Selection and Weighting on Excess Returns

The S&P Style Indices and the S&P Pure Style Indices have distinct long-term performance differences and risk/return characteristics. We highlighted those in a prior blog where we reviewed the two approaches to constructing traditional style and pure style indices. What are the drivers of the return differentials between pure style and style? We know that Read more […]

An Unfair Fight: Value Managers Were Crushed

When I was in the U.S. Army, the doctrine for an attack specified a desired ratio of at least three of us versus every one of them. This would help to ensure an unfair fight. When your life is on the line, you want the odds in your favor. Why should that desire to tilt Read more […]

Pure Style Indices: A Finer Tool With Higher Style Focus

Style investing as an investment approach has long been utilized by market participants to group securities based on their common characteristics and risk/return drivers. Those common characteristics, in turn, help investors make strategic and tactical asset allocation decisions. The first-generation S&P U.S. Style Indices serve as effective underlying tools for market participants seeking a passive Read more […]