Value Factor Measured

Index providers across the world now publish factor indexes using various definitions of the factors.

A simple way to ascertain the most popular definitions of value across the world is to inspect the definitions used by the various index providers for their value indexes. A summary of the same is in the table below.

 Index Details  Factor Characteristics  Methodology
Index Name: FTSE Value
Factor Index
Index Provider: FTSE Russell
Cash flow yield, earnings yield and P/S Tilt the market capitalisation index by using a composite score
Index Name: MSCI Enhanced
Value Index
Index Provider: MSCI Inc.
Forward P/E, P/B, and Enterprise value to operating cash flow Tilt the market capitalisation index using the composite score and target a fixed number of stocks, targeting 30% market capitalisation coverage.
Index Name: S&P Enhanced
Value Index
Index Provider: S&P Dow
Jones Indices LLC
P/B, P/E and P/S Tilt the market capitalisation index by targeting a fixed percentage of constituents in the market capitalisation index.
Index Name: Dow Jones U.S.
Large-Cap Value Total Stock
Market Index
Index Provider: S&P Dow
Jones Indices LLC
Projected P/E, Projected 3-5 Yr Operating EPS Growth, P/B, Div Yield, Trailing Revenue Growth (5 Yr), Trailing EPS Growth (Last 21 quarters) Tilt the US Large-Cap Total Stock Market Index (float-adjusted capitalisation-weighted) towards its constituents classified as “value” using a 6-factor composite score and cluster analysis.
Index Name: Nifty 500 Value
50 Index
Index Provider: NSE Indices
Ltd
E/P, B/P, Sales/Price, Dividend Yield Tilt the Nifty 500 Index (capitalisation-weighted) towards specific constituents based on a weighted-average “Value” score and free-float market capitalisation.
  • Source: Author, methodology and factsheets from FTSE Russell, MSCI Inc, S&P Dow Jones Indices LLC, NSE Indices Ltd
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