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S&P Factor Indices

Published in Strategy Indices

Factor indexes are designed to reflect the performance of stocks with specific characteristics that represent a given factor (or factors). They meet the growing demand for benchmarking tools to be used in factor-based asset allocation approaches, whether in active or passive management. S&P’s Factor Index sources include:

  • S&P Low Volatility Indices – For this data source, index coverage includes the S&P 500® Low Volatility Index, which measures performance of the 100 least volatile stocks in the S&P 500. The index benchmarks low volatility or low variance strategies for the U.S. stock market. Constituents are weighted relative to the inverse of their corresponding volatility, with the least volatile stocks receiving the highest weights. Inclusive indices include the S&P 500 Min Vol Index, S&P BMI International Developed, and S&P Eurozone Indices.
  • S&P Quality Indices – These indices measure the performance of stocks selected on three fundamental measures: return on equity, accruals ratio, and financial leverage ratio. They are constructed from the constituents of the S&P Global BMI, who are selected for index inclusion based on quality scores. The quality score of each stock is derived from its return-on-equity, accruals ratio and financial leverage ratio. These indices include S&P Quality Value & Momentum Multi-Factor Indices, the S&P Quality Rankings Index, and the S&P 500 Quality High Dividend Index.
  • S&P 500 High Beta Index – This index measures the performance of 100 constituents in the S&P 500 that are most sensitive to changes in market returns. The index is designed for investors initiating a bullish strategy or making a directional bet on current markets.

Key Features and Coverage on RIMES

For these data sources, RIMES hosts retrievable data items that are both index and company-based, including:

  • Adjusted Price, Adjustment Factor, Alternate Weight Factor, Bloomberg Ticker, Branding, Cap Range Flag, Country Code, Country Description, Currency Code, Daily Price Return, Daily Total Return in US Dollars, Dividend Per Share Gross, Dividend Per Share Net, Dividend Points in US Dollars, Divisor Factor, DJ Industry Code, Dow Jones Industry Code, Dow Jones Sector Classification Code, Exchange Country, Exchange Rate, Factor, Free Float Factor, Free Float Factor, GICS Industry Level 4 Code, Gross Index in Euros, Growth Factor, Hedged Gross Index, Hedged Net Return, Hedged Price Index, Index Family, Index Type, etc.
  • Industry Level Code, Investable Factor, Investable Market Value, Investable Shares Outstanding, Investable Weight, ISIN Code, Last Price Date, Local Code, Market Capitalization, Market Identifier Code, Market Value, Net Adjustment Factor, Net Dividend Points in US Dollars, Net Index, Net Return, Number of Constituents, Opening Unadjusted Price, Price Index, Region Flag, Reuters Identification Code (RIC), S&P Company Global Vantage Key, S&P Index Level ID, Sedol Code, Share Lot Size, Shares Outstanding, Spin Off Adjustment Factor, Ticker, Total Return, Unadjusted Price, Value Factor, Weight in Index, Weight Type, etc.

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