From June 30, 2006, to Sept. 29, 2017, the S&P China A-Share
Quality Value Index outperformed the benchmark and the S&P China A-Share Quality 200 Portfolio in 9 and 8 out of 12 periods, respectively.
The S&P China A-Share
Quality Value Index outperformed the benchmark in six out of seven market cycle phases, while the value portfolio and quality portfolios only outperformed the benchmark in five and four out of the seven phases, respectively.
Compared to the quality portfolio without value screen, the S&P China A-Share
Quality Value Index had more balanced performance with more than 50 % of win ratios and positive excess returns in both up and down markets, without much sacrifice in downside protection.
[2] The S&P China A-Share Quality 200 Portfolio is a hypothetical portfolio that consists of 200 high - quality stocks before the value screening, with eligible criteria, weighting method, and rebalancing schedule following the S&P China A-Share
Quality Value Index methodology.
To address the issue, on Sept. 29, 2017 we launched the S&P China A-Share
Quality Value Index, which is designed to measure the performance of the top 100 high - quality stocks with reasonable valuation, (see Exhibit 1).
It is important to note that, after adding the value screen, the S&P China A-Share
Quality Value Index recorded higher absolute and risk - adjusted returns with slightly higher return volatility and bigger drawdown than the hypothetical S&P China A-Share Quality 200 Portfolio without an additional value screen.
Historically, the S&P China A-Share
Quality Value Index has outperformed the S&P China A BMI (the benchmark) on an absolute and risk - adjusted basis.
With the aid of the value screen, the S&P China A-Share
Quality Value Index exhibited more consistent outperformance than purely value or quality screened / weighted portfolio.
Not exact matches
That means weighting stocks in an
index by
qualities such as earnings, cash flow, dividends and book
values rather than the sheer size of their market caps.
YouGov BrandIndex's entire universe of 1,500 + consumer brands was measured with its
Index score, the company's centerpiece indicator of brand health, combining sub-scores of General Impression,
Quality,
Value, Satisfaction, Reputation, and Willingness to Recommend.
YouGov BrandIndex's entire universe of 1,100 + consumer brands were measured year to year with its
Index score, its chief measurement of brand health, which combines the average respondent scores for
quality,
value, general impression, satisfaction, reputation and willingness to recommend.
Value and
Quality doesn't always outperform and market - cap weighted
index (such as SPY), but when it does, the returns are very satisfying.
We use a
Value and
Quality index fund for our exposure to US Large - cap stocks and this year it had a terrific return of 21.9 %.
As we saw last year,
Quality and
Value doesn't always beat a simple market - cap weighted
index fund (such as SPY), but when it does, it can work extremely well.
Index scores are the average of the six brand health metrics: Impression,
Quality, Reputation, Satisfaction, Recommend,
Value.
That is, set up your investments for direct withdrawal from your checking or savings account, reinvest dividends, and focus on only buying the lowest risk, highest
quality, most attractively
valued stocks or
index funds such as one based upon the S&P 500.
The two yield - weighted
indices produced positive and significant
value exposure, while the Dividend Aristocrats
indices produced positive and significant
quality exposure.
On the other hand,
value and
quality factor loadings were different between
indices, and they generally aligned either by constituent selection or weighting.
When the investor is young, they tilt equities toward the MSCI USA Diversified Multiple - Factor (DMF)
Index to boost returns via
value, size momentum and
quality beta exposures.
The firm then ranked them using their flagship
Index score, which measures brand health by averaging sub-scores on
quality, satisfaction, impression,
value, reputation and willingness to recommend.
Their analysis involves (1) estimating the factor characteristics of each stock in a broad
index; (2) aggregating the characteristics across all stocks in the
index; and (3) matching aggregated characteristics to a mimicking portfolio of five
indexes representing
value, size,
quality, momentum and low volatility styles, adjusted for estimated expense ratios.
The rankings were compiled using the Football
Value Index, a player valuation methodology which takes into account various metrics including age, position, minutes played and technical quality and puts Sterling top of the pile with a value of #
Value Index, a player valuation methodology which takes into account various metrics including age, position, minutes played and technical
quality and puts Sterling top of the pile with a
value of #
value of # 35m.
The
quality of our rivers is determined using the Swiss diatom
index (DI - CH), whose
value defines the ecological status.
Knowing an author's overall number of papers and total number of citations helps compute an approximated
value of their h -
index, which was named after the American physicist J.E. Hirsch in 2005 and measures the overall number of a scientist's publications as well as their
quality and number of citations.
The GI
values listed in the revised table represent high -
quality data published in refereed journals or unpublished
values generated by Sydney University's Glycemic
Index Research Service, often as a result of contract research by industry.
Therefore, the difference between the 25th and 75th percentile of the teacher
quality distribution, measured in terms of
value - added, is just three percentile points in the h -
index distribution (and the opposite signed relationship as seen with the other measure of research
quality).
Figure 3 compares our
value - added measure of teaching
quality to a faculty member's percentile rank in the field - adjusted h -
index.
The Scholars» Paradise model would use «scale scores» or a «performance
index» for the «academic achievement» indicator; measure growth using a two - step
value - added metric; pick robust «indicators of student success or school
quality,» such as chronic absenteeism; and make
value added count the most in a school's final score.
The new
index considers turn rates, vehicle revenue, dealer gross profit, incentive spend, credit
quality and residual
values to determining the overall success of a new - model launch.
The fund had major equivalent positions in the PowerShares BuyBack Achievers Portfolio (PKW; an
index - based ETF), WisdomTree MidCap Dividend Fund (DON), Guggenheim S&P 500 ® Equal Weight Technology ETF (RYT), FlexShares Quality Dividend Index Fund (QDF), PowerShares Dynamic Market Portfolio (PWC), and First Trust Large Cap Value AlphaDEX ® Fund (
index - based ETF), WisdomTree MidCap Dividend Fund (DON), Guggenheim S&P 500 ® Equal Weight Technology ETF (RYT), FlexShares
Quality Dividend
Index Fund (QDF), PowerShares Dynamic Market Portfolio (PWC), and First Trust Large Cap Value AlphaDEX ® Fund (
Index Fund (QDF), PowerShares Dynamic Market Portfolio (PWC), and First Trust Large Cap
Value AlphaDEX ® Fund (FTA).
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/
quality stocks, as represented by the MSCI USA Sector Neutral
Quality Index (source: Bloomberg, as of 10/
Quality Index (source: Bloomberg, as of 10/18/17).
The behavior of the iShares
Quality and
Value ETFs over the first quarter reflected this phenomenon, with the iShares
Quality Weighted
Index Fund (QUAL) and the iShares
Value Index Fund (VLUE) posting excess returns of 1.65 % and -0.73 % over the S&P 500
Index, respectively.
In December 2015, S&P BSE launched four smart beta
indices based on four factors — momentum,
value, low volatility, and
quality.
The table below shows the
Quality Value Composite's total return since its inception compared with that for the Russell 2500
Index.
Looking at the S&P 500 factor
indexes,
value and momentum were the strongest in April, while high beta and
quality were the weakest.
On the other hand,
value and
quality factor loadings were different between
indices, and they generally aligned either by constituent selection or weighting.
The two yield - weighted
indices produced positive and significant
value exposure, while the Dividend Aristocrats
indices produced positive and significant
quality exposure.
The
index captures large - and mid-cap representation across 22 developed market Europe, Australasia, and Far East countries and aims to represent the performance of
value, low volatility, and
quality factor strategies.
The
Index is an equal weighted combination of the following three MSCI Factor Indices in a single composite index: the MSCI EAFE Value Weighted Index, the MSCI EAFE Minimum Volatility Index, and the MSCI EAFE Quality Index (ea
Index is an equal weighted combination of the following three MSCI Factor
Indices in a single composite
index: the MSCI EAFE Value Weighted Index, the MSCI EAFE Minimum Volatility Index, and the MSCI EAFE Quality Index (ea
index: the MSCI EAFE
Value Weighted
Index, the MSCI EAFE Minimum Volatility Index, and the MSCI EAFE Quality Index (ea
Index, the MSCI EAFE Minimum Volatility
Index, and the MSCI EAFE Quality Index (ea
Index, and the MSCI EAFE
Quality Index (ea
Index (each, a
Four of these factor strategies — RAFI
Value Factor
Index, RAFI Low Volatility Factor
Index, RAFI
Quality Factor
Index, and RAFI Size Factor
Index — and fundamental
indices will also be available in a variety of geographic categories, providing investors a wide range of choices to meet their unique preferences.
Multifactor is represented by the Russell 1000 Comprehensive Factor
Index, which combines the performance of all five Russell 1000 factor
indexes: size,
value,
quality, momentum, and volatility.
Research by Fama and French, among others, has shown that nearly all outperformance relative to a market
index can be explained by such common dimensions of risk and return as
value, size, «
quality» (profitability), and momentum.
Barclay's U.S. Aggregate Bond
Index is made up of the Barclay's U.S. Government / Corporate Bond
Index, Mortgage - Backed Securities
Index, and Asset - Backed Securities
Index, including securities that are of investment grade
quality or better, have at least one year to maturity, and have an outstanding par
value of at least $ 100 million.
Quality is represented by the MSCI ACWI
Quality Index;
Value is represented by the MSCI ACWI
Value Index; Momentum is represented by the MSCI ACWI Momentum
Index; Minimum Volatility is represented by the MSCI ACWI Minimum Volatility
Index.
Smart beta fixed income exposures that embed
quality and
value tilts relative to traditional market capitalization weighted
index exposures are one potential solution.
These strategies could be used to balance a portfolio or express short - term tilts, so an appropriate benchmark for them is a traditional style
index — using a growth
index for momentum ETFs, a broad market
index for
quality ETFs and a
value index for (you guessed it)
value ETFs.
The fund seeks investment results that generally correspond to the performance of the underlying
index that aims to identify companies that have strong
quality scores relative to their peers, while also looking at the
value scores of the securities to avoid those
quality companies that are potentially over-priced.
The MSCI World Factor Mix A-Series
Index captures large - and mid-cap representation across 23 developed countries and aims to represent the performance of
value, low volatility, and
quality factor strategies.
The
Index is an equal weighted combination of the following three MSCI Factor Indices in a single composite index: the MSCI World Value Weighted Index, the MSCI World Minimum Volatility Index, and the MSCI World Quality Index (each, a «Component Index&raq
Index is an equal weighted combination of the following three MSCI Factor
Indices in a single composite
index: the MSCI World Value Weighted Index, the MSCI World Minimum Volatility Index, and the MSCI World Quality Index (each, a «Component Index&raq
index: the MSCI World
Value Weighted
Index, the MSCI World Minimum Volatility Index, and the MSCI World Quality Index (each, a «Component Index&raq
Index, the MSCI World Minimum Volatility
Index, and the MSCI World Quality Index (each, a «Component Index&raq
Index, and the MSCI World
Quality Index (each, a «Component Index&raq
Index (each, a «Component
Index&raq
Index»).
The launch of QARP adds to the existing Xtrackers comprehensive factor
indices line - up, which is designed to track the equity market performance of companies that have demonstrated relatively strong exposure to targeted investment style factors:
value, momentum,
quality, volatility and size.