Launch broadens existing Factor-Based Index family
S&P Dow Jones Indices (SPDJI) announced the launch of two comprehensive global factor index families: S&P Low Beta indices and S&P Intrinsic Value Weighted indices. These new index families are designed to serve as benchmarks or investable solutions that seek to reflect the respective factor strategy.
Factor indices are strategy indices that seek to capture performance characteristics different from traditional cap-weighted benchmarks. SPDJI has been offering factor indices for years beginning with an equal weighted version of the S&P 500® in 2003.
“The launch of the S&P Low Beta and S&P Intrinsic Value Weighted index families is emblematic of an overall trend in the industry toward factor-based strategies,” says Vinit Srivastava, Senior Director of Strategy Indices at S&P Dow Jones Indices. “For many investors, the risk premium historically associated with well-known factors like value, and low beta, can be captured transparently and efficiently through indices.”
The constituents for both index families are constructed from the widely followed S&P Global Broad Market Index (BMI). The S&P Low Beta index family is a market cap weighted index that contains 70% of the S&P Global BMI with the lowest beta. The S&P Intrinsic Value Weighted index family measures the performance by a stock’s intrinsic value which is determined by its book value and the present value of its future earnings above its cost of capital (abnormal earnings).