According to an S&P news release, the Style index
series is market capitalization-weighted and divides the
complete market cap of each parent index into growth and
value indices of approximately equal sizes. Stocks that do
not have pure growth or pure value characteristics have
their market caps distributed between the growth and value
Meanwhile, the Pure Style index series consists of those stocks that exhibit only strong growth or value characteristics. Stocks within each pure style index are weighted according to their style scores. This eliminates any size bias, the company said. Each Pure Style index contains approximately 100-200 members of the parent index.
“Historical data shows that the Pure Style index series is better able to discriminate between value and growth, and has constituent attributes more sharply reflective of their respective investment style,” said David Blitzer, Managing Director and Chairman of the Index Committee at Standard & Poor’s, in the news release. “The Pure Style index series has shown higher risk-adjusted returns than corresponding style indices, while at the same time exhibiting greater volatility with fewer constituents. Turnover for both sets of indices suggests that they are clearly investable, and can be the basis of financial products.”
Style and Pure Style indices were created for the S&P 500, S&P MidCap 400, S&P SmallCap 600, S&P Composite 1500, S&P 900 and S&P 1000.
S&P said it would start publishing the data for the news indices Monday. The S&P 500/Citigroup Value and Growth, S&P MidCap 400/Citigroup Value and Growth, and S&P SmallCap 600/Citigroup Value and Growth indices will be provisional series, while the remaining Style and Pure Style series will be the official indices.
On December 16, 2005, the S&P/Barra Style indices will cease to be the official style indices, and will be replaced by the corresponding S&P/Citigroup Style indices; Real-time calculation for the new index series begins. Real-time dissemination of the S&P/Barra indices will cease on December 16, 2005; end-of-day values for the old S&P/Barra series will be available until June 30, 2006.
More information is here .
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