Standard & Poor's plans to launch two sets of style indexes for U.S. equities that will divide the S&P 500, MidCap 400 and SmallCap 600 into growth and value subindexes, according to David Blitzer, managing director and chairman of the index committee.
"What we come upon more and more is some people who say split the indexes into two - growth stocks and value stocks - so I have a benchmark if I'm a growth stock investor or so I can identify a universe if I hire a value manager," Mr. Blitzer said in an interview. "The second group says, 'No, I want to do quantitative analysis and have a measure of pure strategy.' "
He said rather than trying to create one growth index and one value index that would satisfy both of these needs, the company decided to create two sets with slightly different constructions.
The S&P style index series will be market capitalization-weighted and will divide the complete market cap of each parent index into growth and value indexes of roughly equal sizes. Stocks that do not have pure growth or pure value characteristics will be divided between the growth and value indexes.
The S&P pure style index series will consist of stocks that exhibit only strong growth or value characteristics, according to the news release. Stocks within each pure style index will be weighted according to their style scores. Each pure style index contains about a third of the market cap of the parent index.
On Sept. 16, S&P will begin publishing the U.S. S&P/Citigroup Growth and Value index series and related data at the end of each day. On Dec. 16, the U.S. S&P/Citigroup Growth and Value series will become the company's official style series, replacing the S&P/Barra indexes.
The firm also launched an arithmetic version of the S&P Commodity index geometric series, which since 2001 has measured price changes of agricultural and industrial commodities with actively traded U.S. futures contracts, said Mr. Blitzer. Both series follow the same methodology and construction, tracking industrial commodities in energy, metals, grains, livestock and fibers and softs. The original index series has a fixed percentage weight, while the S&P Commodity index arithmetic series will base weights on the relative two-year average dollar value of the commercial open interest for each of the component commodities. The geometric series offers lower volatility.