Tag Archives: S&P Global REIT
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….
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:…