No matter your market view, we have the factors to express it. In any market climate, whether seeking defensive tactics, growth-oriented strategies or other targeted exposures, investors can access individual and multi-factor solutions covering quality, dividends, equal weight, low vol and more.
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Over the long term, factors may offer performance that differs from that of the broad market due to their distinct risk profiles.
Because factors have exhibited relatively low correlations historically, they may aid in diversification.
Factor strategies can help when pursuing specific goals such as risk reduction over the long-term, through diversification or by isolating distinct market characteristics.
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 now
Our single-factor indices measure exposure to individual non-market risk factors.
Stocks having higher than average dividend yields, accounting for dividend quality.
Stocks with attractive valuations based on value scores calculated using three fundamental measures: book value-to-price, earnings-to-price, and sales-to-price.
Stocks with the lowest relative volatility over a defined time period.
Stocks exhibiting the greatest persistence in their relative risk-adjusted performance.
Stocks with the highest relative quality based on return on equity, accruals ratio, and financial leverage.
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.
S&P Style Indices provide broad exposure to growth and value 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 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 measure top-tier stocks by value score, and account for both market cap and value score in their weighting.
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.
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:
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.
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.