Strategy indices
A range of indices that benchmark the performance of particular sectors of the sharemarket.
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Traditional styles -S&P/ASX 200 Value Index
The S&P/ASX 200 Value Index measures value stocks using three factors: the ratios of book value, earnings, and sales to price. The S&P/ASX Style Indices divide the complete market capitalization of the parent index into growth and value segments. Constituents are drawn from the S&P/ASX 200.
Traditional styles - S&P/ASX 200 Growth Index
The S&P/ASX 200 Growth Index measures value stocks using three factors: the ratios of book value, earnings, and sales to price. The S&P/ASX Style Indices divide the complete market capitalization of the parent index into growth and value segments. Constituents are drawn from the S&P/ASX 200.
Core factors -S&P/ASX 200 Quality Index
The S&P/ASX 200 Quality Index is designed to track high quality stocks in S&P/ASX 200 by quality score. This score is calculated based on return on equity, accruals ratio and financial leverage ratio.
Core factors - S&P/ASX 200 Enhanced Value Index
The S&P/ASX 200 Enhanced Value Index is designed to measure the performance of the top 40 stocks in the S&P/ASX 200 with attractive valuations based on value scores calculated using three fundamental measures: price-to-book, price-to-earnings, and price-to-sales ratios.
Core factors - S&P/ASX 200 Momentum Index
The S&P/ASX 200 Momentum Index is designed to measure the performance of the top 40 stocks in the S&P/ASX 200 universe that exhibit persistence in their relative performance.
Core factors - S&P/ASX 200 Low Volatility Index
The S&P/ASX 200 Low Volatility Index seeks to measure the performance of the 40 least volatile stocks in the S&P/ASX 200. The index benchmarks low volatility or low variance strategies for the Australian stock market. Constituents are weighted relative to the inverse of their corresponding volatility, with the least volatile stocks receiving the highest weight.
Equity income strategies - S&P/ASX Dividend Opportunities Index
The S&P/ASX Dividend Opportunities Index offers exposure to 50 high yielding common stocks from the Australian equity market. The index is part of the S&P Dividend Opportunities Series which exposes income seeking investors to global high yielding common stocks while meeting diversification, stability, and tradability requirements.
Equity income strategies - S&P/ASX 300 Shareholder Yield Index
The S&P/ASX 300 Shareholder Yield Index is designed to measure the performance of the top 40 stocks with the highest shareholder yields in the past one year from the S&P/ASX 300 while meeting certain liquidity and quality criteria.
Equity income strategies - S&P/ASX Franked Dividend Index
The S&P/ASX Franked Dividend Index tracks 30 companies within the S&P/ASX 200 that have paid out 100% franked dividends in the past two years while also maintaining dividend policies that are deemed sustainable.
Managed volatility strategies - S&P/ASX 200 NTR Daily Risk Control 15% Index
S&P/ASX 200 Risk Control™ Indices rely on the existing S&P/ASX 200 methodology and overlay mathematical algorithms to control the index risk profiles at specific volatility targets. The S&P/ASX 200 NTR Daily Risk Control 15% Index dynamically rebalance exposure to maintain 15% volatility targets.
Managed volatility strategies - S&P/ASX 200 NTR Daily Risk Control 12% Index
S&P/ASX 200 Risk Control™ Indices rely on the existing S&P/ASX 200 methodology and overlay mathematical algorithms to control the index risk profiles at specific volatility targets. The S&P/ASX 200 NTR Daily Risk Control 12% Index dynamically rebalance exposure to maintain 12% volatility targets.
Managed volatility strategies - S&P/ASX 200 NTR Daily Risk Control 10% Index
S&P/ASX 200 Risk Control™ Indices rely on the existing S&P/ASX 200 methodology and overlay mathematical algorithms to control the index risk profiles at specific volatility targets. The S&P/ASX 200 NTR Daily Risk Control 10% Index dynamically rebalance exposure to maintain 10% volatility targets.
Managed volatility strategies - S&P/ASX 200 Managed Risk Index
The S&P/ASX 200 Managed Risk Index is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation to the underlying bond index.
Managed volatility strategies - S&P/ASX 200 Managed Risk Index–Aggressive
The S&P/ASX 200 Managed Risk Index–Aggressive is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 10% to the underlying bond index.
Managed volatility strategies - S&P/ASX 200 Managed Risk Index–Moderate Aggressive
The S&P/ASX 200 Managed Risk Index–Moderate Aggressive is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 20% to the underlying bond index.
Managed volatility strategies - S&P/ASX 200 Managed Risk Index–Moderate
The S&P/ASX 200 Managed Risk Index–Moderate is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 30% to the underlying bond index.
Managed volatility strategies - S&P/ASX 200 Managed Risk Index–Moderate Conservative
The S&P/ASX 200 Managed Risk Index–Moderate Conservative is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 40% to the underlying bond index.
Managed volatility strategies - S&P/ASX 200 Managed Risk Index–Conservative
The S&P/ASX 200 Managed Risk Index–Conservative is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation of 50% to the underlying bond index.
Carbon price risk adjusted - S&P/ASX 200 Carbon Price Risk 2030 Adjusted Index
The S&P/ASX 200 Carbon Price Risk 2030 Adjusted Index is designed to measure the performance of the constituent companies of the S&P/ASX 200, reweighted to account for the potential specific impact of 2030 carbon prices on constituents' stock prices.
Other quantitative strategies - S&P/ASX Buy-Write Index
The S&P/ASX Buy-Write Index (XBW) replicates the performance of a well-known option trading strategy where the investor holds a long position in a security and then writes (or sells) call options against the long position. The short call position earns option premium for the investor however the short call also limits the potential profit from the long security position.
