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 indices are either float-adjusted market capitalization (FMC) weighted or capped market capitalization weighted while the Pure Style indices are Style Score weighted, 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..

Index Family

Style Index Series The indices divide the complete FMC of each underlying index approximately equally into growth and value indices. This series covers all stocks in the underlying index universe and is capped market capitalization weighted.

  • Uncapped Style series.The indices cover all stocks in the underlying index universe. The indices are FMC weighted, adjusted by the applicable Style factor.
  • Daily Capped Style series.The indices cover all stocks in the underlying index universe. The indices employ a daily capped market capitalization weighting scheme, and specific capping methodology, as defined in Index Construction.

Pure Style Index Series. The indices identify a portion of the underlying index’s FMC 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 Universe

The indices derive constituents from an underlying index universe. The underlying indices are:

  • 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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