Index Dashboard: S&P 500® Factor- Indices Q3, 2018 ...
[Pages:17]Index Dashboard: S&P 500? Factor- Indices Q3, 2018
QUARTERLY AND 12M TRAILING PERFORMANCE SUMMARY
S&P 500 Quality S&P 500 Momentum
S&P 500 Growth S&P 500 QVM Multi-Factor S&P 500 Dividend Aristocrats S&P 500 Minimum Volatility
S&P 500 Buyback S&P 500 Value
S&P 500 Enhanced Value S&P 500 High Momentum Value
S&P 500 Equal Weight S&P 500 Pure Value S&P 500 High Beta
S&P 500 Low Volatility S&P 500 Pure Growth S&P 500 Low Volatility High Dividend S&P 500 High Dividend
0%
Q3 2018 Total Return
2.11% 1.84% 2% 4%
9.87%
9.75%
9.28%
8.21%
7.91%
7.05%
6.78%
5.86%
5.73%
5.60%
5.42%
5.17%
5.08%
5.04%
5.04%
S&P 500: +7.71%
6% 8% 10% 12%
S&P 500 Momentum S&P 500 Growth
S&P 500 Pure Growth S&P 500 QVM Multi-Factor
S&P 500 Buyback S&P 500 Minimum Volatility
S&P 500 Quality S&P 500 High Beta S&P 500 Dividend Aristocrats S&P 500 Pure Value S&P 500 Equal Weight S&P 500 Enhanced Value S&P 500 High Momentum Value S&P 500 Low Volatility
S&P 500 Value S&P 500 High Dividend S&P 500 Low Volatility High Dividend
0%
12M Total Return
30.37%
25.21%
21.05%
19.54%
17.77%
16.82%
16.22%
16.07%
15.30%
14.17%
13.95%
11.67%
10.98%
10.71%
10.06% 9.79% 5.33%
S&P 500: +17.91%
10%
20%
30%
40%
COMMENTARY
More than any other factor, momentum-based strategies present challenges to the intuition for disciplined investors. As a security or market displays stronger and stronger positive momentum, it becomes harder to imagine yet-higher valuations.
Momentum positions can creep up on you; in the absence of rebalancing, the best-performing portfolio constituent takes a larger and larger weight. Famously, momentum strategies also tend to suffer significant drawdowns when the winds change, yet rebalancing to avoid the risk of a turnaround can leave you lagging for years, or even decades. Working out how to maintain an allocation in momentum-based strategies without undue risk is a challenging problem.
Our factor dashboard provides several perspectives on how complementary exposures from other factor indices might help manage a portfolio's momentum exposure. The table provides selected highlights ? six indices that display opposite characteristics to momentum, and three that may provide relatively limited diversification:
As the table on the left illustrates, three perspectives in particular can be helpful.
First, what is each alternative index's exposure to the momentum factor?
Second, which alternatives outperformed when momentum underperformed; in other words, which indices have an excess return (ER) that is negatively correlated to the excess return of the momentum index?
Finally, from a constituent perspective, which indices hold the most securities in common, and which have minimal overlap?
The utility of these questions is illustrated by the graph on the right, which compares the 3-year relative performance of the S&P 500 Low Volatility High Dividend Index to the 3-year relative performance of the S&P 500 Momentum Index (each taken relative to the S&P 500).
In those periods where Momentum (in red) significantly underperformed, the Low Volatility High Dividend index (in green) frequently displayed significant or rising outperformance.
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of September 28, 2018.
ANNUAL PERFORMANCE
Core factor performance by calendar year, 2003-present:
Total Return Value Low Volatility Momentum Quality
2003 31.79% 22.75% 22.54% 28.75%
S&P 500
28.68%
Relative to Benchmark
2003
20%
2004 15.71% 17.69% 11.05% 11.21%
10.88%
2004
2005 5.82% 2.20% 16.69% 5.07%
4.91%
2005
15%
Value
10%
5%
Low Volatility
0%
Momentum
-5% -10%
Quality
-15% -20%
2006 20.80% 19.69% 9.61% 17.59%
15.79%
2006
Index Dashboard: S&P 500? Factor Indices
Q3, 2018
2007 1.99% 0.58% 9.89% 15.50%
5.49%
2007
2008 -39.22% -21.41% -34.56% -34.06%
-37.00%
2008
2009 21.18% 19.22% 17.24% 30.46%
26.46%
2009
2010 15.10% 13.36% 18.72% 14.95%
15.06%
2010
Total Return Value Low Volatility Momentum Quality
2011 -0.48% 14.78% 1.60% 10.89%
S&P 500
2.11%
Relative to Benchmark
20%
2011
2012 17.68% 10.30% 17.33% 14.68%
16.00%
2012
2013 31.99% 23.59% 31.42% 34.24%
32.39%
2013
Value
15%
10%
Low Volatility
5%
0%
Momentum
-5% -10%
Quality
-15%
-20%
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of September 28, 2018.
2014 12.36% 17.49% 11.23% 14.95%
13.69%
2014
2015 -3.13% 4.34% 5.56% 0.38%
1.38%
2015
2016 17.40% 10.37% 5.70% 9.56%
11.96%
2016
2017 15.36% 17.41% 28.27% 19.51%
21.83%
2017
YTD 3.51% 5.79% 19.48% 9.35%
10.56%
YTD
15 YEAR RISK & RETURN - ABSOLUTE 14%
Index Dashboard: S&P 500? Factor Indices Q3, 2018
15Y Total Return (Ann.)
High Momentum Value
13%
QVM Multi-Factor
Low Volatility High Dividend
Buyback
12%
Pure Growth
Pure Value
Dividend Aristocrats
Quality
11%
Momentum Equal Weight
Minimum Volatility
Low Volatility
Growth
High Dividend
10%
Enhanced Value
S&P 500
9% Value
8%
0%
5%
TOTAL RETURN AND VOLATILITY
10%
15%
20%
Volatility (Ann.)
TOTAL RETURN
1M QTR 1YR 3YR 5YR 10YR 15YR
S&P 500 Low Volatility High Dividend -0.3% 2.1% 5.3% 14.2% 13.2% 13.9% 12.6%
S&P 500 Buyback
-0.3% 6.8% 17.8% 16.7% 13.5% 15.1% 12.4%
S&P 500 High Momentum Value
-1.1% 5.6% 11.0% 14.6% 13.3% 14.6% 13.4%
S&P 500 Dividend Aristocrats
1.0% 7.9% 15.3% 15.7% 13.1% 13.6% 11.6%
S&P 500 Pure Growth
-0.4% 5.0% 21.0% 16.8% 14.7% 15.8% 12.3%
S&P 500 Pure Value
-0.4% 5.2% 14.2% 15.5% 11.9% 14.1% 12.1%
S&P 500 Low Volatility
-0.4% 5.0% 10.7% 13.9% 12.5% 11.8% 10.5%
S&P 500 Equal Weight
0.1% 5.4% 13.9% 15.4% 12.5% 13.1% 11.1%
S&P 500 Growth
0.7% 9.3% 25.2% 19.9% 16.6% 14.0% 10.5%
S&P 500 Quality
1.8% 9.9% 16.2% 15.2% 12.7% 13.0% 11.4%
S&P 500 High Dividend
-0.7% 1.8% 9.8% 15.1% 13.3% 12.3% 10.3%
S&P 500 QVM Multi-Factor
0.7% 8.2% 19.5% 16.7% 13.7% 12.5% 13.0%
S&P 500 Minimum Volatility
0.6% 7.0% 16.8% 15.2% 13.5% 11.2% 10.7%
S&P 500 Momentum
1.4% 9.8% 30.4% 20.7% 16.1% 12.9% 11.0%
S&P 500 Enhanced Value
-1.2% 5.7% 11.7% 16.1% 12.2% 11.5% 9.9%
S&P 500 Value
0.4% 5.9% 10.1% 14.1% 10.9% 9.6% 8.6%
S&P 500 High Beta
-0.3% 5.1% 16.1% 18.4% 12.5% 10.9% 6.2%
S&P 500
0.6% 7.7% 17.9% 17.3% 13.9% 12.0% 9.7% Performance figures for more than one year are annualized.
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of September 28, 2018.
VOLATILITY (ANN.) S&P 500 Low Volatility High Dividend S&P 500 Buyback S&P 500 High Momentum Value S&P 500 Dividend Aristocrats S&P 500 Pure Growth S&P 500 Pure Value S&P 500 Low Volatility S&P 500 Equal Weight S&P 500 Growth S&P 500 Quality S&P 500 High Dividend S&P 500 QVM Multi-Factor S&P 500 Minimum Volatility S&P 500 Momentum S&P 500 Enhanced Value S&P 500 Value S&P 500 High Beta S&P 500
25%
30%
1YR 3YR 5YR 10YR 15YR 8.2% 8.8% 8.8% 13.5% 12.2% 9.9% 11.9% 11.4% 17.0% 15.3% 9.1% 9.9% 10.2% 19.8% 17.5% 8.9% 9.0% 9.4% 13.5% 12.2% 9.8% 10.5% 10.8% 17.1% 15.3% 9.1% 12.2% 12.1% 23.1% 20.5% 7.1% 7.9% 8.3% 10.7% 9.7% 7.6% 9.5% 9.7% 17.2% 15.4% 9.4% 10.1% 10.2% 14.2% 12.9% 8.7% 9.0% 9.6% 13.6% 12.5% 7.8% 8.8% 9.0% 17.7% 15.8% 9.6% 10.0% 10.3% 14.4% 13.4% 7.0% 7.5% 7.9% 11.4% 10.6% 10.2% 9.5% 10.0% 14.2% 13.7% 10.5% 12.6% 12.2% 20.9% 18.4% 8.8% 9.5% 9.6% 15.8% 14.2% 10.7% 17.0% 15.6% 26.8% 24.6% 8.4% 9.2% 9.4% 14.6% 13.1%
15 YEAR RISK & RETURN RELATIVE TO S&P 500
5%
Index Dashboard: S&P 500? Factor Indices Q3, 2018
15Y Outperformance Relative to S&P 500 (Ann.)
4% High Momentum Value
QVM Multi-Factor
3%
Low Volatility High Dividend
Buyback
Pure Growth
2%
Dividend Aristocrats
Quality
Momentum
1%
Growth
Equal Weight Minimum Volatility
Low Volatility High Dividend
0% S&P 500
Enhanced Value
Pure Value
-1%
Value
-2%
-3%
-4%
0%
2%
RELATIVE RETURN AND TRACKING ERROR
High Beta
4%
6%
8%
10%
12%
14%
16%
Tracking Error to S&P 500 (Ann.)
PERFORMANCE v S&P 500
1M QTR 1YR 3YR 5YR 10YR 15YR
S&P 500 Low Volatility High Dividend -0.9% -5.6% -12.6% -3.1% -0.8% 2.0% 3.0%
S&P 500 Buyback
-0.8% -0.9% -0.1% -0.6% -0.4% 3.1% 2.7%
S&P 500 High Momentum Value
-1.7% -2.1% -6.9% -2.7% -0.6% 2.6% 3.7%
S&P 500 Dividend Aristocrats
0.4% 0.2% -2.6% -1.6% -0.8% 1.6% 1.9%
S&P 500 Pure Growth
-1.0% -2.7% 3.1% -0.5% 0.7% 3.9% 2.6%
S&P 500 Pure Value
-1.0% -2.5% -3.7% -1.8% -2.1% 2.2% 2.5%
S&P 500 Low Volatility
-0.9% -2.7% -7.2% -3.4% -1.5% -0.2% 0.9%
S&P 500 Equal Weight
-0.4% -2.3% -4.0% -1.9% -1.5% 1.2% 1.4%
S&P 500 Growth
0.2% 1.6% 7.3% 2.6% 2.6% 2.1% 0.8%
S&P 500 Quality
1.3% 2.2% -1.7% -2.1% -1.3% 1.0% 1.7%
S&P 500 High Dividend
-1.3% -5.9% -8.1% -2.2% -0.7% 0.3% 0.6%
S&P 500 QVM Multi-Factor
0.1% 0.5% 1.6% -0.6% -0.2% 0.6% 3.3%
S&P 500 Minimum Volatility
0.1% -0.7% -1.1% -2.1% -0.4% -0.8% 1.0%
S&P 500 Momentum
0.9% 2.0% 12.5% 3.3% 2.1% 0.9% 1.3%
S&P 500 Enhanced Value
-1.8% -2.0% -6.2% -1.2% -1.8% -0.5% 0.2%
S&P 500 Value
-0.2% -1.8% -7.8% -3.2% -3.1% -2.3% -1.0%
S&P 500 High Beta
-0.8% -2.6% -1.8% 1.1% -1.4% -1.1% -3.4% Performance figures for more than one year are annualized.
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of September 28, 2018.
TRACKING ERROR v S&P 500 (ANN.) S&P 500 Low Volatility High Dividend S&P 500 Buyback S&P 500 High Momentum Value S&P 500 Dividend Aristocrats S&P 500 Pure Growth S&P 500 Pure Value S&P 500 Low Volatility S&P 500 Equal Weight S&P 500 Growth S&P 500 Quality S&P 500 High Dividend S&P 500 QVM Multi-Factor S&P 500 Minimum Volatility S&P 500 Momentum S&P 500 Enhanced Value S&P 500 Value S&P 500 High Beta
1YR 3YR 5YR 10YR 15YR 7.3% 7.2% 7.0% 7.9% 7.1% 3.4% 4.9% 4.2% 5.3% 5.1% 4.5% 4.8% 4.4% 8.6% 7.6% 4.3% 4.4% 3.9% 5.2% 5.0% 5.3% 4.6% 5.0% 5.8% 5.3% 5.0% 6.2% 5.7% 11.8% 10.8% 5.4% 6.2% 6.1% 8.0% 7.1% 3.0% 2.8% 2.5% 4.5% 4.1% 3.3% 3.3% 2.9% 3.0% 3.0% 2.9% 2.2% 2.2% 3.1% 3.2% 6.6% 6.4% 6.8% 9.6% 8.6% 3.1% 3.7% 3.2% 3.7% 4.8% 3.4% 5.5% 4.8% 5.9% 5.2% 4.9% 4.7% 4.8% 5.8% 6.5% 5.0% 6.8% 6.0% 8.9% 8.0% 3.7% 3.7% 3.2% 3.4% 3.3% 6.2% 10.9% 9.4% 14.6% 13.9%
DEGREE OF PORTFOLIO OVERLAP AND RELATIVE RETURN CORRELATIONS
PORTFOLIO OVERLAP
Index Dashboard: S&P 500? Factor Indices
Q3, 2018
Dividend
Value
Value
Enhanced High Beta
Equal Weight Pure Value Buyback
High Momentum Value
QVM Multi-Factor
Aristocrats
Pure Growth Momentum
Low Volatility High High Dividend
Minimum Volatility
S&P 500
500 500
500 500 500
500 500 500 500 500
S&P 500 Growth
Dividend Quality
Low Volatility
500 500 500 500 500 500
S& P S& P
S& P S& P S& P
S& P S& P S& P S& P S& P
S& P S& P S& P S& P S& P S& P
S&P 500 Low Volatility
100% 20% 14% 29% 16% 8% 14% 11% 6% 12% 21% 21% 20% 9% 12% 9% 1% 19%
S&P 500 Minimum Volatility
20% 100% 13% 16% 19% 17% 33% 20% 21% 15% 13% 30% 22% 9% 14% 12% 14% 40%
S&P 500 Low Volatility High Dividend 14% 13% 100% 56% 14% 5% 5% 0% 1% 9% 8% 23% 10% 9% 0% 15% 3% 14%
S&P 500 High Dividend
29% 16% 56% 100% 13% 6% 6% 1% 2% 10% 18% 23% 16% 19% 3% 17% 7% 15%
S&P 500 Dividend Aristocrats
16% 19% 14% 13% 100% 12% 12% 6% 7% 8% 9% 17% 11% 10% 8% 10% 6% 15%
S&P 500 Quality
8% 17% 5% 6% 12% 100% 26% 23% 30% 46% 7% 13% 20% 5% 18% 7% 15% 22%
S&P 500 Growth
14% 33% 5% 6% 12% 26% 100% 38% 43% 17% 7% 27% 39% 0% 15% 4% 25% 67%
S&P 500 Pure Growth
11% 20% 0% 1% 6% 23% 38% 100% 32% 18% 9% 0% 23% 0% 16% 3% 34% 26%
S&P 500 Momentum
6% 21% 1% 2% 7% 30% 43% 32% 100% 37% 12% 15% 19% 6% 18% 6% 19% 30%
S&P 500 QVM Multi-Factor
12% 15% 9% 10% 8% 46% 17% 18% 37% 100% 35% 21% 20% 20% 21% 31% 13% 19%
S&P 500 High Momentum Value
21% 13% 8% 18% 9% 7% 7% 9% 12% 35% 100% 26% 20% 35% 35% 35% 16% 18%
S&P 500 Value
21% 30% 23% 23% 17% 13% 27% 0% 15% 21% 26% 100% 49% 27% 22% 31% 13% 60%
S&P 500 Equal Weight
20% 22% 10% 16% 11% 20% 39% 23% 19% 20% 20% 49% 100% 21% 20% 19% 20% 54%
S&P 500 Pure Value
9% 9% 9% 19% 10% 5% 0% 0% 6% 20% 35% 27% 21% 100% 28% 45% 11% 16%
S&P 500 Buyback
12% 14% 0% 3% 8% 18% 15% 16% 18% 21% 35% 22% 20% 28% 100% 25% 19% 20%
S&P 500 Enhanced Value
9% 12% 15% 17% 10% 7% 4% 3% 6% 31% 35% 31% 19% 45% 25% 100% 11% 16%
S&P 500 High Beta
1% 14% 3% 7% 6% 15% 25% 34% 19% 13% 16% 13% 20% 11% 19% 11% 100% 22%
"Portfolio Overlap" is percentage of index weights held in common between any two indices.
RELATIVE RETURN CORRELATIONS
Dividend
Value
Value
Enhanced High Beta
Equal Weight Pure Value Buyback
High Momentum Value
QVM Multi-Factor
Aristocrats
Pure Growth Momentum
Low Volatility High High Dividend
Minimum Volatility
500 500
500 500 500
500 500 500 500 500
S&P 500 Growth
Dividend Quality
Low Volatility
500 500 500 500 500 500
S& P S& P
S& P S& P S& P
S& P S& P S& P S& P S& P
S& P S& P S& P S& P S& P S& P
S&P 500 Low Volatility
1.00 0.85 0.74 0.59 0.67 0.22 -0.08 -0.21 0.08 -0.14 -0.02 0.09 0.05 -0.26 -0.33 -0.39 -0.65
S&P 500 Minimum Volatility
0.85 1.00 0.72 0.60 0.63 0.27 -0.05 -0.16 0.12 -0.14 -0.08 0.06 0.06 -0.25 -0.29 -0.41 -0.62
S&P 500 Low Volatility High Dividend 0.74 0.72 1.00 0.91 0.59 0.10 -0.30 -0.38 -0.21 -0.21 0.07 0.30 0.34 0.06 -0.12 -0.16 -0.32
S&P 500 High Dividend
0.59 0.60 0.91 1.00 0.52 0.06 -0.40 -0.39 -0.32 -0.20 0.13 0.40 0.53 0.28 0.06 0.03 -0.08
S&P 500 Dividend Aristocrats
0.67 0.63 0.59 0.52 1.00 0.36 -0.39 -0.33 -0.12 0.02 0.16 0.40 0.35 0.09 0.08 -0.04 -0.33
S&P 500 Quality
0.22 0.27 0.10 0.06 0.36 1.00 0.08 0.12 0.12 0.31 0.01 -0.07 0.11 -0.13 0.11 -0.21 -0.16
S&P 500 Growth
-0.08 -0.05 -0.30 -0.40 -0.39 0.08 1.00 0.74 0.49 -0.20 -0.59 -1.00 -0.53 -0.73 -0.44 -0.73 -0.30
S&P 500 Pure Growth
-0.21 -0.16 -0.38 -0.39 -0.33 0.12 0.74 1.00 0.51 0.05 -0.26 -0.73 -0.08 -0.38 -0.07 -0.40 0.06
S&P 500 Momentum
0.08 0.12 -0.21 -0.32 -0.12 0.12 0.49 0.51 1.00 0.23 -0.04 -0.46 -0.33 -0.41 -0.24 -0.40 -0.28
S&P 500 QVM Multi-Factor
-0.14 -0.14 -0.21 -0.20 0.02 0.31 -0.20 0.05 0.23 1.00 0.61 0.21 0.11 0.20 0.43 0.34 0.15
S&P 500 High Momentum Value
-0.02 -0.08 0.07 0.13 0.16 0.01 -0.59 -0.26 -0.04 0.61 1.00 0.60 0.47 0.61 0.60 0.70 0.32
S&P 500 Value
0.09 0.06 0.30 0.40 0.40 -0.07 -1.00 -0.73 -0.46 0.21 0.60 1.00 0.52 0.72 0.44 0.73 0.29
S&P 500 Equal Weight
0.05 0.06 0.34 0.53 0.35 0.11 -0.53 -0.08 -0.33 0.11 0.47 0.52 1.00 0.72 0.65 0.50 0.53
S&P 500 Pure Value
-0.26 -0.25 0.06 0.28 0.09 -0.13 -0.73 -0.38 -0.41 0.20 0.61 0.72 0.72 1.00 0.66 0.84 0.65
S&P 500 Buyback
-0.33 -0.29 -0.12 0.06 0.08 0.11 -0.44 -0.07 -0.24 0.43 0.60 0.44 0.65 0.66 1.00 0.67 0.55
S&P 500 Enhanced Value
-0.39 -0.41 -0.16 0.03 -0.04 -0.21 -0.73 -0.40 -0.40 0.34 0.70 0.73 0.50 0.84 0.67 1.00 0.60
S&P 500 High Beta
-0.65 -0.62 -0.32 -0.08 -0.33 -0.16 -0.30 0.06 -0.28 0.15 0.32 0.29 0.53 0.65 0.55 0.60 1.00
Correlation of weekly excess total returns (versus S&P 500), three years to Sept 28, 2018
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of September 28, 2018.
12M Tracking Error to S&P 500 (Ann.)
Index Dashboard: S&P 500? Factor Indices
Q3, 2018
TRACKING ERROR & ACTIVE SHARE- RELATIVE TO S&P 500
8%
Low Volatility High Dividend
7% High Dividend
6%
High Beta
Low Volatility
Pure Growth
Enhanced Value
5%
Momentum
Pure Value
High Momentum Value
Dividend Aristocrats 4%
Value
Minimum Volatility
Buyback
3%
Growth
Equal Weight
QVM Multi-Factor Quality
2%
1%
S&P 500
0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Current Active Share to S&P 500
FACTOR EXPOSURE SUMMARY (See following page for factor scoring methodology)
INDEX
AVERAGE LOW VOLATILITY MOMENTUM
S&P 500 High Momentum Value
14.3%
2.1%
-7.2%
S&P 500 QVM Multi-Factor
16.8%
2.1%
25.6%
S&P 500 Pure Value
7.8%
-56.4%
-15.9%
S&P 500 Enhanced Value
9.6%
-17.6%
-31.9%
S&P 500 Quality
8.1%
-7.8%
8.0%
S&P 500 Low Volatility
7.5%
79.0%
-25.6%
S&P 500 High Beta
2.6%
-70.6%
-3.6%
S&P 500 High Dividend
6.0%
4.0%
-49.4%
S&P 500 Value
5.5%
6.7%
-22.3%
S&P 500 Low Volatility High Dividend 4.9%
28.8%
-61.9%
S&P 500 Buyback
5.1%
-15.8%
1.4%
S&P 500 Dividend Aristocrats
6.6%
20.3%
-14.0%
S&P 500
0.0%
0.0%
0.0%
S&P 500 Momentum
2.3%
-12.5%
68.1%
S&P 500 Equal Weight
1.5%
-21.6%
-14.4%
S&P 500 Minimum Volatility
-2.1%
7.8%
-5.9%
S&P 500 Growth
-6.8%
-9.5%
18.6%
S&P 500 Pure Growth
-7.6%
-43.2%
26.7%
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of September 28, 2018.
VALUE
73.0% 37.0% 83.9% 86.4% -13.4% 11.8% 11.3% 42.8% 41.0% 41.5% 37.4% 9.8%
0.0%
-22.1% 19.9% 0.0% -27.7% -28.5%
HIGH BETA
-19.3% -2.9% -19.3% -13.1% -0.2% -70.8% 67.2% -65.2% -24.0% -70.7% -7.0% -30.8%
0.0%
29.0% -18.8% -24.8% 16.1% 21.8%
DIVIDEND
10.9% -2.1% 27.2% 31.8% -9.6% 30.2% -14.6% 85.3% 30.9% 86.2% -13.7% 32.6%
0.0%
-32.2% 4.6% 7.5% -22.0% -51.8%
QUALITY
-0.3% 46.0% -11.7% -0.4% 72.8% -11.7% 0.5% -18.4% -2.6% -21.4% -1.5% -1.0%
0.0%
1.7% -2.6% -2.3% 0.3% 0.5%
SMALL SIZE
41.1% 11.7% 46.4% 11.7% 6.9% 40.0% 28.1% 43.2% 8.6% 32.1% 35.1% 29.0%
0.0%
-15.7% 43.2% 3.3% -23.6% 21.5%
KEY TO FACTOR SCORINGS FOR INDICES
Index Dashboard: S&P 500? Factor Indices
Q3, 2018
Factor Definitions
Each constituent of the S&P 500 index is provided with a factor "score" for each of Beta, Volatility, Momentum, Dividend, Size, Value and Quality.
Small Size Quality
Low Volatility
S&P 500
Momentum Value
Dividend
High Beta
Factor Volatility
Momentum
Value Beta Dividend Quality Size
Measurement at single-stock level
Trailing 12-month daily volatility.
Twelve-month price change as of one month ago ("13 minus 1 momentum"), divided by the daily volatility during the twelve-month period that ended one month prior. For more details, see the S&P Momentum methodology. The average of (normalized) earnings to price ratio, book to price ratio and sales to price ratio. For more details, see the S&P Value methodology. Trailing 1 year beta of daily returns to the benchmark's returns.
Trailing 12-month dividend.
The average of the (normalized) return on equity, the negative of the accruals ratio and the negative of the financial leverage ratio. For more details, see the S&P Quality methodology. Average and standard deviations for each metric follow below. Free-float market capitalization.
Index Factor Ranking and Factor Diagram Scaling
Index Scores Each index is provided score in each factor from -100% to +100% based on how much of the total capitalization of the benchmark must be excluded in order to provide a portfolio of stocks with similar exposure to that factor. This is done by examining a ranked series of hypothetical cap-weighted portfolios, including or excluding an increasing number of the stocks with the highest or lowest scores. An illustration of the process is below, further details may be found at this link.
Factor Diagram Axis
Single-stock portfolio with the highest possible factor score
The stocks in the benchmark are ranked in order from highest to lowest factor score, and we examine portfolios including or excluding a varying number of stocks associated to high or lower factor scores. The score in each factor (and its level on the chart) reflects the active share of a hypothetical portfolios matching the factor score of that index. The weights of stocks within the hypothetical comparison portfolios are set proportional to benchmark weights, i.e. free-float market capitalization.
Fewer stocks
... ...
Fewer stocks
...
Portfolios with a tilt against the factor begin by excluding the highest-ranked stock and end up concentrated in the lowest-ranked stocks
Benchmark Portfolio has a factor rank defined by that of a capweighted average score among all stocks
Weighting matters to the ranking of the index. Each the ranked portfolios of stocks is given a factor score through the capitalization-weighted average. Factor indices can use alternative weightings, which can provide higher factor exposures with fewer stocks.
Single-stock portfolio with the lowest possible factor score
Notes On Additional Index Statistics
Statistic Active Share (Stock) Active Share (Sector)
Notes
Ranging from 0 to 100%, "active share" is a measure of how much a portfolio's composition differs from that of its benchmark, and provides the amount of trading theoretically required to switch from a position in one to a position in the other. The Active Share (Stock) for each index is calculated as the absolute sum of difference between S&P 500 stock weights and Index stock weights, divided by two.
The Active Share (Sector) is the absolute sum of difference between S&P 500 sector weights and Index sector weights, divided by two.
Concentration (HH Index)
The Herfindahl-Hirschman ("HH") concentration measure is equal to the index constituent's percentage weights, squared. For example, the HH measure of a single-stock portfolio is 10,000 (the maximum possible). The HH measure of a 100-stock, equally weighted index is 100.
Correlation (Stock)
Calculated as the weighted-average 1Yr trailing daily variance of current index constituents, divided by the 1Yr trailing daily Index variance. The value approximates an average stock-to-stock correlation of index constituents, weighted proportionally to both constituent weight and constituent volatility.
Benchmark Statistics for Value, Quality and Momentum (normalization variables)
S&P 500 index-weighted average S&P 500 index-weighted standard deviation
Earnings to Price
4.23% 3.59%
VALUE Book to
Price
28.1% 25.0%
Sales to Price
42.0% 40.0%
Accrual Ratio
8.52% 21.44%
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of September 28, 2018.
QUALITY Return on
Equity
22.08% 23.46%
Leverage Ratio
1.32 1.44
MOMENTUM
12M - 1M Daily Price
Return
Volatility
25.55% 29.56%
1.43% 0.35%
Index Dashboard: S&P 500? Factor Indices
S&P 500 Low Volatility
Q3, 2018
Description
The S&P 500 Low Volatility is designed to measure the performance of the 100 stocks in the S&P 500 with the lowest volatility, measured on a 1-year trailing basis. The weighting of each
stock is in inverse proportion to its volatility.
Index Statistics Total Return (Ann)
1M
3M YTD 12M
-0.4% 5.0% 5.8% 10.7%
Relative to Benchmark -0.9% -2.7% -4.8% -7.2%
Index Volatility
7.1%
Tracking Error
5.4%
Benchmark: S&P 500. 1 Yr trailing beta to benchmark = 0.8
3Y 13.9% -3.4% 7.9% 6.2%
5Y 12.5% -1.5% 8.3% 6.1%
10Y 11.8% -0.2% 10.7% 8.0%
15Y 10.5% 0.9% 9.7% 7.1%
Small Size
Low Volatility Momentum
Benchmark
Portfolio Statistics Active Share (Stock) Active Share (Sector) Concentration (HH Index) Correlation (stock) Ann. Turnover (last 10 yr)
Index 81% 44% 100.7 9.95 0.74
Bmark 0% 0% 89.1 0.30 0.05
Index-Weighted Avg. Stock Volatility 12M - 1M price return Book/Price Earnings/Price Sales/Price Stock Beta Yield (12M trailing) R.O.E. Market Cap (U.S. $ bn)
Index 17% 11% 0.36 0.04 0.39 0.64 2.5% 12% 54.9
Bmark 23% 26% 0.28 0.04 0.44 1.01 1.8% 15% 231.9
Top Sector Tilts (versus benchmark)
Sector
Index Bmark
Utilities
23% 3%
Real Estate
18% 3%
Comms
0% 10%
Info Tech
11% 21%
Difference 20% 15% -10% -10%
Sector Tilts (Detail)
50%
Quality
Value
Dividend
High Beta
Factor Exposure Chart
25%
3%
3%
0%
-6%
-4%
-4%
-9%
-10%
-25% Cons. Disc. Cons. Energy Financials Health Care Industrials IT
Staples
20% 15% 3%
-10%
Materials Real Estate Telecoms Utilities
S&P 500 Minimum Volatility Description The S&P 500 Minimum Volatility uses an optimization process to find the portfolio of S&P 500 stocks, and weights, that would have demonstrated the lowest volatility on a historical basis, subject to constraints maintaining limiting sector and factor exposures. As of Sept 28, 2018 the index comprised 120 constituents.
Index Statistics Total Return (Ann) Relative to Benchmark Index Volatility Tracking Error Benchmark: S&P 500.
1M
3M YTD 12M
0.6% 7.0% 7.9% 16.8%
0.1% -0.7% -2.6% -1.1%
7.0%
3.4%
1 Yr trailing beta to benchmark = 0.82
3Y 15.2% -2.1% 7.5% 5.5%
5Y 13.5% -0.4% 7.9% 4.8%
10Y 11.2% -0.8% 11.4% 5.9%
15Y 10.7% 1.0% 10.6% 5.2%
Small Size
Low Volatility Momentum
Benchmark
Portfolio Statistics Active Share (Stock) Active Share (Sector) Concentration (HH Index) Correlation (stock) Ann. Turnover (last 10 yr)
Index 60% 15% 128.0 0.25 0.68
Bmark 0% 0% 89.1 0.30 0.05
Index-Weighted Avg. Stock Volatility 12M - 1M price return Book/Price Earnings/Price Sales/Price Stock Beta Yield (12M trailing) R.O.E. Market Cap (U.S. $ bn)
Index 22% 21% 0.28 0.04 0.41 0.88 2.0% 16% 170.8
Bmark 23% 26% 0.28 0.04 0.44 1.01 1.8% 15% 231.9
Top Sector Tilts (versus benchmark)
Sector
Index Bmark
Utilities
8%
3%
Cons. Staples
11% 7%
Comms
7% 10%
Energy
2%
6%
Difference 5% 4% -3% -4%
Sector Tilts (Detail)
50%
Quality
Value
Dividend
High Beta
Factor Exposure Chart
25%
2%
4%
3%
0%
-4%
-3%
-1%
-3%
-25% Cons. Disc. Cons. Energy Financials Health Care Industrials IT
Staples
5% 0%
-1%
-3%
Materials Real Estate Telecoms Utilities
Source: S&P Dow Jones Indices LLC and/or its affiliates. Data as of September 28, 2018.
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