Products August 11, 2010

S&P Launches Factor Index Series

Standard & Poor's has launched the S&P Factor Indices which seek to measure the risk premium inherent between asset classes and financial markets. 

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Each index in the S&P Factor Index Series is comprised of an equal-weighted long and short sub-index calculated to reflect the corresponding spread. The Long Sub-Index is comprised of long front futures contracts; the Short-Sub-Index is comprised of short front futures contracts.   

According to a press release, the objective of each index in the series is to provide investors with exposure to the price difference between Sub-Indices, and in turn, the underlying futures contracts. The Indices are calculated on a real-time basis.  

The following factors are represented in the S&P Factor Index Series: 

  • Equity Risk Premium: Measures the spread of the U.S. stocks over the returns of long-term Government Bonds;  
  • Non-U.S. Dollar Equity: Measures the spread of the return of U.S. stocks over the return of the U.S. Dollar Index; 
  • Crude Oil – Equity Spread: Measures the spread of the return of Crude Oil over the return of U.S. stocks; and  
  • Gold – Equity Spread: Measures the spread of the return of gold over the return of U.S. stocks. 

For more information on the S&P Factor Index Series, including methodology, index calculations and additions/deletions criteria, visit http://www.indices.standardandpoors.com.

 

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