Charts & data for factor-related indices


Recently we’ve looked at how various “factors” can help investors and traders improve their returns (here and here). Before we run our trading models on these factor-specific indices, let’s first look at how each factor-specific index performs. The hope is that by trading factor-specific indices instead of the broad S&P 500, our models’ returns would increase.
*All data from the Bloomberg Terminal

S&P 500 Total Return Index

Here’s the S&P 500 Total Return Index. It includes dividends reinvested.



NASDAQ 100 (non-Total Return)

Here’s the NASDAQ 100. It does not include dividends reinvested.
Notice how the NASDAQ is much more volatile than the broad S&P 500. The NASDAQ is full of growth stocks. Growth tends to be more volatile than value (think Amazon vs. Walmart)



NASDAQ 100 (Total Return Index)

Here’s the NASDAQ 100 Total Return Index. It includes dividends reinvested.



Russell 2000 Total Return Index

Here’s the Russell 2000 Total Return Index. It includes dividends reinvested.



S&P 600 (non-total return)

Here’s the S&P 600. It does not include dividends reinvested.
The S&P 600 is a small cap index. It accounts for the “size” factor.



S&P 600 (total return)

Here’s the S&P 600 Total Return Index
Notice how small cap stocks didn’t go up from 1998-2000 like the S&P 500 did, but also didn’t really go down from 2000-2002 like the S&P 500 did. Also, notice how small cap stocks did much better than the S&P in the 2002-2007 and 2009-2018 bull markets.



S&P 600 Value Index (non-total return)

The S&P 600 Value Index looks at small cap value stocks. This accounts for the “size” factor and “value” factor



S&P 600 Low Volatility Index (total return)

The S&P 600 Value Index looks at small cap, low volatility stocks. This accounts for the “size” factor and “betting against beta” factor



S&P 500 Growth Index

The S&P 500 Growth Index looks at growth stocks within the S&P 500.



S&P 500 Value Index

The S&P 500 Value Index looks at value stocks within the S&P 500.


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