Factors such as size, value, and growth have played a part in asset allocation decisions for decades. With the advent of factor indexing, passive investors gained access to a broader range of exposures. Today, investors can access factors both individually and in combination through a range of index-based ETFs, tapping into a world of sophisticated strategies that were once available only via active management.


Why Factors?

  • Unique Risk Premia

    Over the long term, factors may offer performance that differs from that of the broad market due to their distinct risk profiles.

  • Diversification

    Because factors have exhibited relatively low correlations historically, they may aid in diversification.

  • Risk Management

    Factor strategies can help when pursuing specific goals such as risk reduction over the long-term, through diversification or by isolating distinct market characteristics.


The Factor Spectrum

Our single-factor indices measure exposure to individual non-market risk factors.

  • Dividends

    Stocks having higher than average dividend yields, accounting for dividend quality.

  • Enhanced Value

    Stocks with attractive valuations based on value scores calculated using three fundamental measures: book value-to-price, earnings-to-price, and sales-to-price.

  • Low Volatility

    Stocks with the lowest relative volatility over a defined time period.

  • Momentum

    Stocks exhibiting the greatest persistence in their relative risk-adjusted performance.

  • Quality

    Stocks with the highest relative quality based on return on equity, accruals ratio, and financial leverage.

  • Size / Equal Weight

    Accounts for stock size based on market cap (e.g., large-caps vs. small-caps), or equal weighting, which tilts the index in favor of smaller-sized companies.


Styles Tailored to Your Needs

S&P Style Indices

S&P Style Indices provide broad exposure and are market-cap-weighted. These characteristics make them relevant benchmarks for evaluating the skill of active managers, and suitable for those seeking long-term index approaches with a tilt toward a particular style.

S&P Pure Style Indices

S&P Pure Style Indices have a stricter definition of growth and value, resulting in more-concentrated style exposures for market participants seeking precise tools. Unlike the standard style indices, they are style-score-weighted, and there are no overlapping securities between growth and value.

S&P Enhanced Value Indices

S&P Enhanced Value Indices measure top-tier stocks by value score, and account for both market cap and value score in their weighting.


Factor Effectiveness

When comparing markets around the world, the impact of factors can differ, as indicated by their 15-year information ratios.


Factor  Effectiveness

Source: S&P Dow Jones Indices and/or its affiliates. Data as of December 31, 2021. Total return versions of the indices are used. Charts are provided for illustrative purposes. Past performance is not an indication or guarantee of future results. These charts may reflect hypothetical historical performance. Please see the Performance Disclosure for more information about index returns, including hypothetical performance.


Multi-Factor Indices: Combining Factors

While powerful individually, factors also can be used in combination to reflect market outlook and investment objectives. Some common factor combinations include:

Multi-Factor Indices: Combining Factors


Benefits of Multi-factor Indices

Historically, the five core factors have generally exhibited weak correlations. Combining factors may improve long-term performance and generate greater stability. Because multi-factor approaches may reduce the need to make frequent decisions about when to shift among factors, they may also reduce the risk associated with timing factor exposures.

Benefits of Multi-factor Indices

Source: S&P Dow Jones Indices and/or its affiliates. Data are calculated over the time period December 1996 – December 2021. Index performance based on USD total returns. Charts are provided for illustrative purposes. Past performance is not an indication or guarantee of future results. These charts may reflect hypothetical historical performance. Please see the Performance Disclosure for more information about index returns, including hypothetical performance.


A History of Factor Innovation

A pioneer of factor indexing, we launched our first growth and value indices in 1992 and remain a leading innovator today.

A History of Factor Innovation


Explore our full range of factor indices, or get the latest factor dashboard to view the performance of key indices.


Research & Insights

  • Factor Indices: A Simple Compendium

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  • Low Volatility and High Beta: A Study in Backtest Integrity

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