NEW YORK, March 3, 2011 /PRNewswire/ -- Standard & Poor's, the world's leading index provider, announced today that it has licensed the S&P Factor Indices, which seek to measure the risk premium inherent between asset classes and financial markets, to Factor Advisors for the launch of FactorShares - the first family of spread ETFs based upon the Indices. The first five FactorShares ETFs launched last week on the New York Stock Exchange's electronic platform, Arca.
The S&P Factor Indices create a transparent means for investors to track the daily spread between a long and short sub-index. Each index in the Series is comprised of an equal-weighted long and short sub-index calculated to reflect the corresponding daily spread. The Long Sub-Index is comprised of long front futures contracts; the Short Sub-Index is comprised of short front futures contracts. The objective of each index in the series is to provide investors with exposure to the daily price difference between Sub-Indices, and in turn, the underlying futures contracts. The Indices are calculated on a real-time basis.
"The S&P Factor Indices were designed to allow sophisticated investors to benchmark, or gain exposure to a broad range of risk premium in the financial markets," says Alka Banerjee, Vice President at S&P Indices. "We are excited that these Indices will form the basis of Factor Advisors' first line-up of spread ETFs."
The following factors are represented in the S&P Factor Indices:
- Equity Risk Premium Measures the daily spread of the U.S. stocks over the returns of long-term Government Bonds.
- Non-U.S. Dollar Equity: Measures the daily spread of the return of U.S. stocks over the return of the U.S. Dollar Index.
- Crude Oil - Equity Spread: Measures the daily spread of the return of Crude Oil over the return of U.S. stocks.
- Gold - Equity Spread: Measures the daily spread of the return of gold over the return of U.S. stocks.
"We are pleased that S&P has licensed its Factor Indices to Factor Advisors and feel that its recognition among asset managers will add credence to our first family of spread ETFs," said Stuart Rosenthal, CEO of Factor Advisors. "Factor models have been used for many years by investment professionals and the S&P Factor Index Series provides a practical framework for investors seeking to implement both a bullish and bearish view across assets but within a single investment position."
For more information on the S&P Factor Index Series, including methodology, index calculations and additions/deletions criteria, please visit www.indices.standardandpoors.com.
About S&P Indices
S&P Indices, the world's leading index provider, maintains a wide variety of investable and benchmark indices to meet an array of investor needs. Over $1.25 trillion is directly indexed to Standard & Poor's family of indices, which includes the S&P 500, the world's most followed stock market index, the S&P/Case-Shiller Home Price Indices, the leading measure of U.S. home prices, the S&P Global BMI, an index with approximately 11,000 constituents, the S&P GSCI, the industry's most closely watched commodities index, and the S&P National AMT-Free Municipal Bond Index, the premier investable index for U.S. municipal bonds. For more information, please visit www.standardandpoors.com/indices.
Standard & Poor's does not sponsor, endorse, sell or promote any S&P index-based investment product. This document does not constitute an offer of services in jurisdictions where Standard & Poor's or its affiliates do not have the necessary licenses. Standard & Poor's receives compensation in connection with licensing its indices to third parties. It is not possible to directly invest in an index.
SOURCE Standard & Poor's