S&P U.S. Style Indices Methodology

Index Objective and Highlights

The S&P U.S. Style Indices measure the performance of U.S. equities fully or partially categorized as either growth or value stocks, as determined by Style Scores for each security. The Style index series is weighted by float-adjusted market capitalization (FMC), and the Pure Style index series is weighted by Style Score subject to the rules described in Index Construction.

The S&P U.S. Style Indices address two distinct needs. The first is for exhaustive style indices that provide broad exposure to a certain style segment. The second need is for narrow, style-pure indices.

The Style index series divides the complete market capitalization of each parent index approximately equally into growth and value indices. This series covers all stocks in the parent index universe, and is FMC weighted.

  • The Daily Capped Style series covers all stocks in the parent index universe. Instead of weighting by FMC, the indices employ a capped market capitalization weighting scheme, and specific capping methodology, as defined in Index Construction.

The Pure Style index series identifies a portion of the parent index’s market capitalization as Pure Growth and a portion as Pure Value. There are no overlapping stocks, and stocks are weighted in proportion to their relative style propensity.

Index Family

S&P U.S. Style Indices are applied to the family of indices below:

  • S&P 500
  • S&P Composite 1500
  • S&P MidCap 400
  • S&P 900
  • S&P SmallCap 600
  • S&P 1000

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