S&P to Release Growth and Value Sub-Indices

May 24, 2005 (PLANSPONSOR.com) - Standard & Poor's on Tuesday plans to launch two new sets of style indices for the US market later this year breaking three of its prominent existing indices into sub-indices focusing on the value and growth portions of each offering.

An S&P news release said the new indices will divide the S&P 500, the S&P MidCap 400, and the S&P SmallCap 600.

According to the announcement, 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 will have their market caps distributed between the growth and value indices.

Meanwhile, the Pure Style index series consists of those stocks that exhibit only strong growth or value characteristics, S&P said. Stocks within each pure style index are weighted according to their style scores to eliminate any size bias, according to the company. Each pure style index contains approximately one third of the market cap of the parent index.

The new growth and value indices will be based on the style scoring methodology developed by Citigroup, and used in the S&P/Citigroup benchmark index series, according to the news release.   Stocks are scored for both value and growth attractiveness by using three growth factors and four value factors. These scores will make it possible for analysts to consistently analyze style definitions at both the stock level and index level, S&P asserted.

The new style indices will be branded as the S&P/Citigroup Growth and Value Series. Style and Pure Style indices will also be created for the S&P Composite 1500, S&P 900 and S&P 1000.

According to the news release, the rollout of the indices will be as follows:

  • on September 16, 2005, Standard & Poor’s will begin publishing the US S&P/Citigroup Growth and Value index series and related data on an end-of-day basis
  • on December 16, 2005, the US S&P/Citigroup Growth and Value series will become Standard & Poor’s official style series, replacing the S&P/Barra indices. Real-time calculation for the new index series begins.
  • real-time dissemination of the S&P/Barra indices will end 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 at  www.indices.standardandpoors.com .