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Why Factors?
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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.
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Diversification
Because factors have exhibited relatively low correlations historically, they may aid in diversification.
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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.
Lessons from 20 Years of Equal Weight
How has equal-weight compared with cap-weight historically? S&P DJI's Hamish Preston and Invesco's Nick Kalivas explore how differences in index construction have influenced index performance, sector and factor composition, and results in the latest SPIVA Scorecards.
Watch nowThe Factor Spectrum
Our single-factor indices measure exposure to individual non-market risk factors.
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Dividends
Stocks having higher than average dividend yields, accounting for dividend quality.
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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.
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Low Volatility
Stocks with the lowest relative volatility over a defined time period.
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Momentum
Stocks exhibiting the greatest persistence in their relative risk-adjusted performance.
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Quality
Stocks with the highest relative quality based on return on equity, accruals ratio, and financial leverage.
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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.
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S&P 500 Low Volatility Index August 2023 Rebalance
S&P 500 Low Volatility Index August 2023 Rebalance
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Why Multi-Factor Indices in South Africa?
Why Multi-Factor Indices in South Africa?
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Balancing Defense with Growth: The S&P Quality Indices
Balancing Defense with Growth: The S&P Quality Indices
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Mean Reversion
Mean Reversion
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Comparing Defensive Factors in the Recent Market Environment
Comparing Defensive Factors in the Recent Market Environment
When comparing markets around the world, the impact of factors can differ, as indicated by their 15-year information ratios.
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.
While powerful individually, factors also can be used in combination to reflect market outlook and investment objectives. Some common factor combinations include:
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.
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 pioneer of factor indexing, we launched our first growth and value indices in 1992 and remain a leading innovator today.
