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S&P Strategy Indices

Published in Strategy Indices

S&P Strategy Indices include Fixed Income Strategy Indices, Quant Strategy Indices and Alternative Weighted Indices. These indices enable investors to gain exposure to specific (or combinations of) factors such as volatility, beta and intrinsic or economic value of stock (Single Factor or Multi Factor variants).

S&P’s Strategy data sources include:

  • S&P High Yield Low Volatility Bond Indices – These indices are designed to measure the performance of U.S. high yield corporate bonds with potentially low volatility. Inclusive securities meet certain criteria as defined in Eligibility Criteria and Index Construction that act as proxies for liquidity and low volatility. Indices include S&P U.S. High Yield Low Volatility Corporate Bond Index and S&P U.S. High Yield Select Corporate Bond Index.
  • S&P VIX Futures Indices – S&P Dow Jones VIX Indices offer benchmarks for implied-volatility expectations and are globally used for trading VIX-based products such as ETFs, futures and options. These indices provide a cost-efficient exposure to forward implied volatility and directional exposure to volatility through publicly traded futures markets.

Alternative Weighted Index sources include:

  • Dow Jones Industrial Averages – The Dow Jones Industrial Average® (The Dow®), is a price-weighted measure of 30 U.S. blue-chip companies. The index covers all industries except transportation and utilities. This data source includes The Europe Dow, DJ Composite Average, DJ Industrial Average, DJ Transportation Average, and DJ Utility Average. A related source includes the Dow Jones Industrial Average Yield Weighted Indices, which are designed to track the dividend-paying securities of the Dow Jones Industrial Average®.
  • S&P Revenue Weighted Indices – These indices weight the constituents of the S&P 500 by their revenues. This strategy provides access to the same securities as the S&P 500 Index, weighted by top line revenue instead of market capitalization. The indices bring broad exposure to the S&P 500 universe and provides greater exposure to lower valuation companies than the market-cap benchmark. Index coverage includes S&P Midcap 400 Revenue-Weighted Index, S&P 500 Revenue-Weighted Index, S&P 500 Financials Sector Revenue-Weighted Index, S&P Smallcap 600 Revenue-Weighted Index and S&P 900 Dividend Revenue-Weighted Index

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, Alias Symbol, Bloomberg Ticker, Branding, Cap Range Flag, Country Code, Cusip Code, Daily Return US Dollars, Description, Dividend Per Share, Dividend Points, Divisor Factor, DJ Industry Code, Excess Return in US Dollars, Exchange Country, Exchange Rate, Factor, Free Float Factor, GICS Codes, Gross Adj. Factor, Gross Index , Gross Index Divisor, Growth Factor, Hedged Gross Index in Euros, Hedged Net Return in Euros, Hedged Price Index in Euros, Index Family, Index Type, Industry Level Code, Investable Factor, etc.
  • Investable Market Value, Investable Shares Outstanding, Investable Weight, ISIN Code, Market Capitalisation, Market Identifier Code, Market Value, Net Adjustment Factor, Net Dividend Points, Net Index, Net Index Divisor Factor In US Dollars, Net Index in US Dollars, Net Return, Number of Constituents, Number of Shares Outstanding, Opening Unadjusted Price, Price Index, Region Flag, Reuters Identification Code (RIC), S&P Company Global Vantage Key, S&P Index Level ID, Sector Description, Sedol Code, Shares Outstanding, Ticker, Total Return, Unadjusted Price, Value Factor, Weight in Index, Weight Type, Weight Within Country, etc.

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