The below table shows that quality factor commercial indices are not all the same.
They have different inputs and methodologies, which often lead to different outcomes.
|Index Details||Factor Characteristics||Methodology|
|Index Name: S&P 500 Quality Index
Index Provider: S&P Dow Jones Indices LLC
|ROE (TTM), Balance Sheet Accruals Ratio (Change in NOA/Avg NOA), Leverage (Total Debt/BVE)||Tilt S&P 500 Index (capitalisation-weighted) towards 100 constituents with their weights based on the product of their market cap in the Parent Index and Overall Quality (based on the 3 Quality metrics)|
|Index Name: Russell 2000 0.4 Target Exposure Quality Factor Index
Index Provider: FTSE Russell
|Profitability (Only ROA for profitability in case of Financial and RE companies): ROA, Accruals Ratio, Change in ATO; Leverage: Leverage Ratio (OCF/Total Debt)||Tilt Russell 2000 Index (capitalisation-weighted) based on a combined Quality Z-score|
|Index Name: NIFTY100 Quality 30 Index
Index Provider: NSE Indices Ltd
|ROE, Financial Leverage (D/E), and last 5-Yr EPS growth variability||Choose 30 stocks from NIFTY100 Index (capitalisation-weighted) based on their quality scores and weight them according to the product of their free-float MC and Quality Z-Score|
|Index Name: Fidelity U.S. Quality Factor Index
Index Provider: Fidelity Investments Inc.
|For Non-Banks: FCF Margin, ROIC, FCF Stability; For Banks: ROE, Debt to Assets||Select high quality stocks, from top 1,000 stocks in the U.S., based on a composite score. Security weights determined on the basis of an overweight adjustment (identical for all stocks within a sector) and their market capitalisations|
|Index Name: MSCI India Quality Index
Index Provider: MSCI Inc.
|ROE, Debt-to-Equity, Earnings Variability||Tilt MSCI India Index (capitalisation-weighted) towards high Quality constituents with weights equal to their product of market capitalisations weight in MSCI India Index and Composite Quality Score|
Source: FTSE Russell, MSCI Inc, S&P Dow Jones Indices LLC, NSE Indices Ltd. & Fidelity Investments Inc.