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Tag Archives: value

May 9, 2022

Value Resurgent, Part 2

The years between 2017 and 2021 were a frustrating half-decade for value investors. The S&P 500 Growth Index advanced at a compound annual rate of 24.1%, more than double the 11.9% return of its Value counterpart. Despite occasional (and sometimes prematurely celebrated) periods of success, Value underperformed Growth in four years of the five (and…

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Apr 4, 2022

S&P QVM Top 90% Indices: Looking under the Hood of the March 2022 Rebalance

Since their launch in April 2021, the S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the “S&P QVM Top 90% Indices”) have been a great addition to our multi-factor lineup. These indices are designed to track companies in the top 90% of their respective underlying index universe, ranked by their multi-factor score. To support…

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Feb 2, 2022

Value Resurgent

This year marks the 30th anniversary of the launch of indices designed to distinguish growth and value investment styles. Investment managers had classified themselves as growth or value specialists (among other possible differentiators) before 1992, but until then it wasn’t possible to evaluate a value manager against a systematically defined value benchmark or a growth…

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Jan 4, 2022

Focusing on Factor Indices

Factor indices have two important uses. First, they can be used as benchmarks to help clients of specialist managers disentangle how much of the manager’s performance is attributable simply to factor exposure, and how much is attributable to the manager’s stock selection beyond the factor. Second, factor indices can be used as investment vehicles to…

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Oct 4, 2021

Breaking the Market Cap Weight with an Index

When people talk about indexes, they are usually referring to market-cap weighted indexes. Market-cap weighting is based on price and outstanding number of shares. One simply takes the number of shares outstanding and multiplies them by the share price to arrive at market cap. This calculation results in the biggest companies commanding the largest weights….

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Sep 29, 2021

Investing in Real Estate: Global Diversification using a Quantitative Rules-Based Index

A question… Take five major asset classes: U.S. stocks, international stocks, long-term government bonds, Treasury Bills, and REITs. If their respective compound rate of return over the past two decades is compared, which would come in highest? Stocks? Maybe bonds as they’ve ridden yields down to near zero? Nope. REITs win the day. If returns…

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Aug 3, 2021

Introducing the S&P QVM Top 90% Multi-factor Indices

Earlier this year, S&P DJI launched three S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the “S&P QVM Top 90%” Indices) across our large-cap, mid-cap, and small-cap universes. Each of these indices is tracked by an ETF. Compared to S&P DJI’s other flagship multi-factor indices, this new series represents a differentiated approach to multi-factor…

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Aug 2, 2021

Examining a Custom Approach to Factors

How does viewing companies through the prism of price-to-sales influence risk/return? Explore a systematic approach to indexing factors with a focus on valuations with Justin Lowry, President and Chief Investment Officer at Global Beta Advisors and S&P DJI’s Michael Mell.

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Jun 15, 2021

Valuing Equal Weight

We have previously discussed the impact of Equal Weight’s rebound on its exposure to the momentum factor. We now turn our attention to its exposure to the value factor, as the recovery in smaller caps and value stocks has been an important tailwind for the strategy. The S&P 500® Equal Weight is typically biased toward…

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Jun 9, 2021

Riding the Value Wave

U.S. equity markets seemed to undergo a fundamental change of direction in September of last year. Exhibit 1 illustrates the shift; our growth indices, which had outperformed value handily through the end of August, have lagged ever since. The spreads between growth and value are even greater when we compute them using our Pure Growth…

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