Tag Archives: S&P U.S. Style Indices
Style, Size, and Skewness
Two of the biggest reversals of 2022 compared to 2021 were the outperformance of smaller caps and the outperformance of value compared to growth. Both of these factors helped drive the S&P 500® Equal Weight Index’s recovery last year, as well as a decline in market concentration. As sector and style exposures are not independent,…
- Categories Factors
- Other Tags
- Categories
- Factors
- Other Tags
Contextualizing Style Shifts
The S&P U.S. Style Indices are designed to provide broad and exhaustive exposure to the market’s value and growth segments. Our index methodology bifurcates a parent index’s market capitalization into roughly equal portions on the third Friday in December, using six measures shown in Exhibit 1. Although the composition of style indices changes every year,…
- Categories Factors
- Other Tags
Style Chicken or Sectoral Egg?
Anyone who has perused our S&P 500® Factor Dashboard for December 2022 (and it’s a shame if you have not) will recognize Exhibit 1 below. The horizontal axis represents the difference between the weighted average value and growth scores (at the beginning of 2022) for each of the 17 factor indices in our dashboard, while…
- Categories Factors
- Other Tags
2019: A Market Review
With 2019 coming to a close, market participants may use the time to evaluate portfolio performance and to assess what changes (if any) they would like to make based on return expectations and the market outlook. While the future is uncertain – hindsight really will be 2020 when it comes to evaluating next year’s returns…
- Categories S&P 500 & DJIA
- Other Tags
The Impact of Style Classification on Active Management Performance in 2017: Part 2
In our previous blog, we highlighted the contribution to domestic equity market returns by mega-cap stocks in 2017 and the implications for active management. In this blog, we focus our discussion on investment style classification. Specifically, we analyze the impact of the style classification scheme on managers’ performance analysis, such as in the SPIVA® U.S….
- Other Tags