S&P Dow Jones Indices (S&PDJI) has launched S&P Quality Indices, a new family of indices designed to measure high quality stocks in the global equity markets on the basis of their quality score, which is calculated based on three fundamental measures – return on equity, accruals ratio and financial leverage ratio.
The launch follows the launch of Low Beta and Intrinsic Value indices earlier this year. Factor-based indices are strategy indices that seek to capture performance characteristics differently from traditional cap-weighted benchmarks.
“Quality is a risk factor that is distinct from other known factors like size, value, momentum and low volatility,” said Vinit Srivastava, senior director of strategy indices at S&P Dow Jones Indices. “The launch of the S&P Quality Index family provides investors with a factor-based benchmark that captures the characteristics of high quality companies.”
The index family consists of 12 headline indices that cover major global regions and countries. The S&P Quality Indices are constructed from the constituents of the S&P Global Broad Market Index (BMI) and other headline benchmark indices.
Each stock in the S&P Quality Indices is weighted by its quality score multiplied by its float-adjusted market capitalisation.
The indices launched today include the S&P Quality Global LargeMidCap Index; S&P Quality Developed LargeMidCap Index; S&P Quality Developed Ex-U.S. LargeMidCap Index; S&P Quality Developed Ex-Japan LargeMidCap Index; S&P Quality Emerging LargeMidCap Index; S&P Quality Europe LargeMidCap Index; S&P Europe 350 Quality; S&P Quality Pan Asia LargeMidCap Index; S&P Quality Pan Asia Ex-Japan LargeMidCap Index; S&P Quality Japan LargeMidCap Index; S&P 500 Quality; and S&P Quality United States LargeMidCap Index.