Tag Archives: U.S. style
S&P U.S. Indices Year-End 2022: Analyzing Relative Returns to CRSP
The S&P U.S. Equity Indices aim to represent and measure the performance of distinct market cap segments of the investable U.S. equity market. The S&P Composite 1500®, which consists of the S&P 500®, S&P MidCap 400® and S&P SmallCap 600®, is constructed differently compared to other indices with similar objectives. These nuances can impact index…
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S&P U.S. Indices Year-End 2022: Analyzing Relative Returns to Russell
2022 was a challenging year across asset classes, including equities. Exhibit 1 shows that there were declines across the U.S. equities market cap spectrum. For example, the S&P 500® fell 18% for the whole year; the gains in the fourth quarter were not sufficient to overcome the declines during the first three quarters. Amid the…
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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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Surveying Style Indices
How can index construction inform style selection? S&P DJI’s Craig Lazzara takes a closer look at the S&P Style and S&P Pure Style Indices and how these different approaches to indexing Growth and Value are designed to help advisors align strategies with client objectives.
- Categories Equities, Factors
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2023, Craig Lazzara, equities, factors, Financial Advisors, growth investing, growth vs. value, indexing, pure growth, pure style, pure value, S&P 500 Growth, S&P 500 Pure Growth, S&P 500 Pure Value, S&P 500 Value, S&P Pure Style, S&P Pure Style Indices, S&P Style, Style, style bias, US FA, value investing
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- 2023, Craig Lazzara, equities, factors, Financial Advisors, growth investing, growth vs. value, indexing, pure growth, pure style, pure value, S&P 500 Growth, S&P 500 Pure Growth, S&P 500 Pure Value, S&P 500 Value, S&P Pure Style, S&P Pure Style Indices, S&P Style, Style, style bias, US FA, value investing
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,…
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When the Winds Change
“Change is the investor’s only certainty.” Thomas Rowe Price, Jr. 2022 marked several major changes in market trends amid a substantial shift in global macroeconomic regimes. After historic levels of stimulus, multi-decade highs in inflation across several major economies led to monetary tightening. This shift weighed on asset classes in many regions, and traditional routes…
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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,…
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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…
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The Power of Style
At some risk of oversimplification, the 16.1% decline in the S&P 500® for the first eight months of 2022 can be divided into three intervals, as the market fell by 20.0% through June, rallied in July, and then resumed its decline in August. This story, of course, is still evolving: for all we now know,…
Style Perspectives In Vogue
U.S. equities have had a tough start to the year amid rising inflation concerns, anticipated rate hikes by the Federal Reserve, earnings misses from several mega-cap companies, and ongoing geopolitical tensions emanating from the Russia-Ukraine conflict. Exhibit 1 shows that the S&P 500®, S&P MidCap 400®, and S&P SmallCap 600® all declined in the first…
- Categories Equities, S&P 500 & DJIA
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