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The S&P GIVI (Global Intrinsic Value Index) Japan posted an impressive five-year live track record. It is one of the few multi-factor indices in the market, and it was launched five years ago. Since its launch in March 2012, the S&P GIVI Japan has outperformed its benchmark, the S&P Japan BMI, by 1.17% per year,…
The spread between the returns of the S&P GIVI Japan and its benchmark index, the S&P Japan BMI, comes from three sources: the excess return of the S&P Low Beta Japan Index; the excess return of the S&P Intrinsic Value Weighted Japan Index; and a residual effect that comes from the sequential approach to the…
