S&P follows CS into 130/30 index business
Nov 20th, 2007 | Filed under: 130/30Following on the heels of Credit Suisse, S&P has now entered the burgeoning “130/30 Index” industry. If you think the idea of an index of active strategies is a little weird, you’re not alone. But this certainly isn’t S&P’s first active index (a.k.a. “strategy index”). Here are some others. And contrary to some reports, its not the first 130/30 index either (see related posting).
Most, including the new 130/30 offering, are based on the firm’s proprietary stock-ranking model called STARS. Since 80% of 1X0/X0 providers are quants, S&P’s model serves as an interesting opportunity to see under the hood on one of these strategies. In fact, the firm has published the entire methodology here (containing the following schematic).
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[...] Another entrant into the 130/30 index business. (All About Alpha) [...]