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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Why Factors?

  • 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.

  • Diversification

    Because factors have exhibited relatively low correlations historically, they may aid in diversification.

  • 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.

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The Factor Spectrum

Our single-factor indices measure exposure to individual non-market risk factors.

  • Dividends

    Stocks having higher than average dividend yields, accounting for dividend quality.

  • 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.

  • Low Volatility

    Stocks with the lowest relative volatility over a defined time period.

  • Momentum

    Stocks exhibiting the greatest persistence in their relative risk-adjusted performance.

  • Quality

    Stocks with the highest relative quality based on return on equity, accruals ratio, and financial leverage.

  • 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.

Styles Tailored to Your Needs

S&P Style Indices

S&P Style Indices provide broad exposure to growth and value and are weighted by capped market capitalization. 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

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

S&P Enhanced Value Indices measure top-tier stocks by value score, and account for both market cap and value score in their weighting.

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Factor Effectiveness

When comparing markets around the world, the impact of factors can differ, as indicated by their 15-year information ratios.


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:

Multi-Factor Indices: Combining Factors

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.

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.

A History of Factor Innovation

Explore our full range of factor indices, or get the latest factor dashboard to view the performance of key indices.

Indices

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