S&P Dow Jones launches Quality Indices
This quality score is calculated by three fundamental measures: return on equity, the accruals ratio and financial leverage ratio.
“Quality is a risk factor that is distinct from other known factors such as size, value, momentum, and low volatility,” says 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 Quality 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 launch follows the introduction of Low Beta and Intrinsic Value factor-based indices earlier this year. Factor-based indices are strategy indices that seek to capture performance characteristics differently than traditional market cap-weighted benchmarks.
S&P has launched the following indices:
• 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
• S&P Quality United States LargeMidCap Index
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