Small wonder then that the S&P 500
Enhanced Value Index and S&P 500 Pure Value were popular topics of financial advisor discussion at the 2017 Inside ETFs Conference in January.
So - called factor indexes (and the beta strategies that follow them), like the MSCI USA
Enhanced Value Index and iShares Edge MSCI USA Value Factor ETF (VLUE), screen for securities using multiple metrics, and weight them not by market capitalization, but by their exposure to value price multiples.
In this period, the S&P 500
Enhanced Value Index delivered higher returns but with higher volatility than its broader, market - cap - weighted counterpart.
The S&P 500 Value simply weights securities by market cap, whereas the selection process and the weighting scheme of the S&P 500
Enhanced Value Index assigns higher weights to those securities with bigger value attributes.
On the other hand, the S&P 500
Enhanced Value Index is more representative of a high conviction, more concentrated value strategy.
It comes as no surprise that the percentage of active value funds underperforming the S&P 500
Enhanced Value Index tends to exceed those underperforming the broad - based S&P 500 Value across all time periods, [2] given that the former has outperformed the latter across all measurement periods.
We can highlight the last point using two value indices formed from the same underlying domestic large - cap universe, the S&P 500 Value and S&P 500
Enhanced Value Index.
Aligning with its long - term performance characteristics, in 2016, the S&P BSE
Enhanced Value Index showed significant outperformance in the up - trending market, with an annualized excess return of 41.4 %.
However, the S&P BSE
Enhanced Value Index experienced significant drawdown of 24.3 % in the last quarter of fiscal year 2015 - 2016, the worst among the four factors.
The MSCI USA Momentum Index has gained roughly 30 %, about twice the gains for the MSCI USA
Enhanced Value Index or quality stocks, as represented by the MSCI USA Sector Neutral Quality Index (source: Bloomberg, as of 10/18/17).
Adopting the S&P
Enhanced Value Indices methodology, [1] we used earnings - to - price, sales - to - price, and book - value - to - price ratios to identify stocks that were relatively undervalued in comparison to the other stocks in the universe.
Exhibit 1 displays the Sharpe ratios of the S&P
Enhanced Value Indices and the relevant S&P BMI Indices over the past 15 years.
The soon - to - be-launched S&P
Enhanced Value Indices * are an example of indices seeking to capture the value risk premium.
Not exact matches
Core International Fidelity ® International
Enhanced Index Fund (FIENX) Fidelity ® International Capital Appreciation Fund (FIVFX) Fidelity ® Total International Equity Fund (FTIEX) Fidelity ® International Discovery Fund (FIGRX) Fidelity ® Diversified International Fund (FDIVX) Fidelity ® Overseas Fund (FOSFX) Fidelity ® International Growth Fund (FIGFX) Fidelity ® International
Value Fund (FIVLX) Fidelity ® International Small Cap Fund (FISMX) Fidelity ® International Small Cap Opportunities Fund (FSCOX)
Fundamental
indexing is just another form of
enhanced indexing, tilting the portfolio to
value, and smaller cap, both of which tend to lead to outperformance.
Fundamental indexation, when properly done, is nothing more than
enhanced indexing with a
value tilt.
Core International Fidelity ® International
Enhanced Index Fund (FIENX) Fidelity ® International Capital Appreciation Fund (FIVFX) Fidelity ® Total International Equity Fund (FTIEX) Fidelity ® International Discovery Fund (FIGRX) Fidelity ® Diversified International Fund (FDIVX) Fidelity ® Overseas Fund (FOSFX) Fidelity ® International Growth Fund (FIGFX) Fidelity ® International
Value Fund (FIVLX) Fidelity ® International Small Cap Fund (FISMX) Fidelity ® International Small Cap Opportunities Fund (FSCOX)
Thirty days later, Voya Mid Cap
Value Advantage Fund (AIMAX) becomes Voya Mid Cap Research
Enhanced Index Fund.
Our activism in the interest of shareholders was concretely demonstrated in 1992 with the introduction of the LongView Equity
Index Fund, which provides union pension funds with investment products and actively advocates for
enhanced shareholder
value.
In a world of elusive alpha and popularity of passive
index investing, the path to
enhanced returns lies through combining socially responsible and impact investing with another factor, such as dividend yield of
value, according to analysts at Bank of America Merrill Lynch.