Tag Archives: S&P Style Indices
S&P U.S. Indices H1 2023: Analyzing Relative Returns to Russell
After a challenging year in 2022, the U.S. equity market saw a strong turnaround in the first half of 2023, with the S&P 500® up 17% since year-end 2022. Exhibit 1 shows that the rebound was also observed across the cap spectrum. Returns in the second quarter outperformed the first quarter after the market shook…
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A Selective Approach to Style: The S&P Pure Growth and Value Indices
S&P Dow Jones Indices (S&P DJI) offers style and pure style indices, which categorize companies based on their growth and value characteristics. We recently published the paper Comparing S&P Style & Pure Style Indices, where we highlighted differences in design, fundamentals and potential applications for both index series. Exhibit 1 summarizes the index construction of…
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S&P U.S. Core Indices Mid-Year 2022: Analyzing Relative Returns to Russell
In Q2 2022, the S&P 500®, S&P MidCap 400® and S&P SmallCap 600® all fell about 15%, continuing the declines from Q1 as of June 30, 2022 (see Exhibit 1). The S&P 500 experienced its worst first half since 1970. Amid the challenging environment, the S&P U.S. Core and Style Indices have generally proved more…
- Categories Equities, S&P 500 & DJIA
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- Equities, S&P 500 & DJIA
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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…
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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…
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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…
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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…
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