INTRODUCTION
The S&P Equal Weight U.S. Indices include the equal-weight versions of the widely used S&P 500®, S&P 100, S&P MidCap 400®, and S&P SmallCap 600®. The equal-weight indices include the same constituents as their respective market-cap-weighted indices, but each company is allocated a fixed equal weight in the index at each quarterly rebalance. The result is a simple and elegant way to access broad market returns with exposure to the size (small-cap premium) and style (value) factors.
Created in 1957, the S&P 500 was the first broad U.S. market-capweighted stock market index. Today, it is the basis of many listed and over-the-counter investment instruments. Launched in 1983, the S&P 100 is a sub-set of the S&P 500 and includes 100 of the largest, most stable companies in the S&P 500 with listed options. Sector balance is considered in the S&P 100 composition across multiple industry groups.
Following research in the early 1990s by Fama and French that showed the small-cap premium,[1] demand grew for mid- and small-cap indices, especially with quality screens. To meet this demand, the S&P MidCap 400 and S&P SmallCap 600 were created in 1991 and 1994, respectively. Sizes are determined by unadjusted full market capitalization. As of Nov. 30, 2018, a company’s market cap must be greater than or equal to USD 6.1 billion in order to be eligible for the S&P 500, between USD 1.6 billion and USD 6.8 billion for the S&P MidCap 400, and between USD 450 million and USD 2.1 billion for the S&P SmallCap 600. The combination of the S&P 500, S&P MidCap 400, and S&P SmallCap 600 is measured by the S&P Composite 1500®.
In addition to the equal-weight versions of the broad U.S. benchmarks, S&P Dow Jones Indices (S&P DJI) also calculates individual sector indices based on the Global Industry Classification Standard® (GICS®) for the S&P 500, S&P MidCap 400, and S&P SmallCap 600. Developed in 1999 and jointly managed by S&P DJI and MSCI, the GICS assigns companies to a single classification at the sub-industry level according to its principal business activity using quantitative and qualitative factors, including revenues, earnings, and market perception. The sector is the first level of the four-tiered, hierarchical industry classification system that includes 11 sectors, 24 industry groups, 69 industries, and 158 sub-industries.
