S&P Dow Jones Indices (SPDJI) has launched the S&P Low Beta indices and S&P Intrinsic Value Weighted indices, two new global factor index families designed to serve as benchmarks or investable solutions that seek to reflect the respective factor strategy.
The index provider said it is responding to demand for alternatives to traditional cap-weighted gauges following a surge in alternatively-weighted strategies among all of its client segments.
“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,” said 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 sourced from the S&P Global Broad Market Index (BMI). The S&P Low Beta index family contains 70% of the S&P Global BMI with the lowest beta; while 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).
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