NEW YORK and LONDON, Sept. 12, 2012 /PRNewswire/ -- S&P Dow Jones Indices announced today the launch of a new index within the S&P GIVI™ family: the S&P GIVI Global Growth Markets Tilt index, which is designed to combine growth and value characteristics with a macroeconomic factor.
The S&P GIVI Global Growth Markets Tilt index is a combination of the base S&P GIVI indices which combine low volatility and alternative weighting schemes to weight stocks by their calculated intrinsic value (rather than market-capitalization) and the S&P GIVI GDP Weighted indices which apply alternate country weights derived from their gross domestic product.
Goldman Sachs Asset Management (GSAM) today announced that it has launched a number of UCITS funds based upon the GIVI concept which seek to track the performance of a specific S&P GIVI sub-index which S&P Dow Jones Indices has licensed (along with its complete family of GIVI Emerging and Developed markets sub-indices, a total of over 2,000 indices across 46 countries and seven currencies) to GSAM.
Alka Banerjee, Vice President of Global Equity Indices at S&P Dow Jones Indices, said: "The S&P GIVI Global Growth Markets Tilt indices are the first to combine country GDP growth characteristics with the economic weight of a company. A global GDP weighted index will typically overweight Emerging market stocks which tend to have lower market capitalization relative to their GDP. The S&P GIVI Global Growth Markets Tilt indices combine the GDP weighting with the GIVI methodology to allow investors to measure the Growth Markets using the GIVI framework."Jim O'Neill, Chairman of Goldman Sachs Asset Management, said: "We see more and more investors looking beyond classic market beta for factors that influence performance and risk. There are several factors behind this development – not least the volatility that we have seen in recent years but also the rise and importance of the Growth Markets. In our view, it's time that new and innovative ways of managing money against differently constructed benchmarks are considered. The GIVI concept eliminates 30% of the stocks with the greatest historical volatility, and weights the remaining stocks by their estimated economic worth rather than on the basis of market cap. At GSAM, we believe this approach to constructing equity portfolios could help generate higher returns at a lower level of volatility and risk, than market cap weighted indices. We believe that this concept works across different asset classes and regions, and I'm delighted that from today investors can begin accessing this strategy through a range of global equity portfolios." The base S&P GIVI is constructed from the S&P Global BMI universe, a comprehensive, rules-based global index covering approximately 10,000 companies in 46 countries. Each stock in the S&P GIVI is weighted by its calculated intrinsic value. The intrinsic value of each stock is the sum of two components: the value of assets in place plus the value of growth opportunities. To achieve its goal of low volatility, S&P GIVI excludes, for each country represented in the S&P Global BMI, the 30% of market capitalization with the highest beta. Remaining stocks are then weighted by a rules-based measure of intrinsic value, determined by book value and discounted projected earnings.