Tag Archives: Sector Composition
Using GARP Strategies for Indices Part IV – Factor Exposures, Sector Composition, and Performance Attribution
In this blog, the fourth in our introduction to Growth at a Reasonable Price (GARP) strategies, we cover factor exposures, sector composition, and performance attribution. Targeted Factor Exposures Exhibit 1 shows the active exposures (in percentages) of the S&P 500® GARP Index to the five factors used in GARP strategies: three-year sales per share (SPS)…
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S&P 500® Dividend Aristocrats®: Risk Decomposition and Sector Composition
Today we examine the impact of the members of the S&P 500 Dividend Aristocrats Class of 2019 on the index’s factor risk and sector composition. In our previous blog, we introduced these new constituents and discussed their quality ranking. Risk decomposition of the S&P 500 Dividend Aristocrats using Axioma’s US Fundamental Equity Risk Model MH4…
- Categories Equities, S&P 500 & DJIA, Strategy
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- Equities, S&P 500 & DJIA, Strategy
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