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Index Definitions
The S&P 500 Index consists of 500 U.S. stocks chosen for market size, liquidity and industry group representation. It is a market value-weighted index (stock price times number of shares outstanding), with each stock’s weight in the Index proportionate to its market value.
The S&P 900 Index combines the S&P 500 and the S&P MidCap 400 to form an investable benchmark for the mid- to large-cap segment of the U.S. equity market.
The Russell 1000 Index measures the performance of the large-cap segment of the US equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Index is reconstituted annually to ensure new and growing equities are included
The MSCI USA Investible Market Index is designed to measure the performance of the large, mid and small cap segments of the US market. With 2,378 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in the US.
The Russell 3000 Index measures the performance of the largest 3,000 US companies. The Index is reconstituted annually to ensure new and growing equities are included.
The MSCI USA High Dividend Yield Index is based on the MSCI USA Index, its parent index, and includes large and mid cap stocks. The index is designed to reflect the performance of equities in the parent index (excluding REITs) with higher dividend income and quality characteristics than average dividend yields that are both sustainable and persistent. The index also applies quality screens and reviews 12-month past performance to omit stocks with potentially deteriorating fundamentals that could force them to cut or reduce dividends.
The S&P 500 High Dividend Index serves as a benchmark for income seeking equity investors. The index is designed to measure the performance of 80 high yield companies within the S&P 500 and is equally weighted to best represent the performance of this group, regardless of constituent size.
The Dow Jones U.S. Select Dividend index aims to represent the U.S.'s leading stocks by dividend yield.
The MSCI World Diversified Multiple-Factor Index is based on the MSCI World Index, its parent index, which includes large and mid-cap stocks across 23 Developed Markets (DM) countries.
The FTSE Developed Comprehensive Factor Net Tax Index is a benchmark designed to capture exposure to five factors – Quality, Value, Momentum, Low Volatility and Size. These factors represent common factor characteristics for which there is a broad academic and practitioner consensus, supported by a body of empirical evidence across different geographies and time periods.
The S&P 500 Total Return Index is different from the standard S&P Index (SPX), which does not include dividend gains. The total return indexes follow a similar pattern in which many mutual funds operate, where all resulting cash payouts are automatically reinvested back into the fund itself.
The MSCI World Net Total Return USD Index is a free float-adjusted market capitalization weighted index that is designed to measure the large and mid-cap equity market performance of developed markets. The index covers approximately 85% of the free float-adjusted market capitalization in each country. The MSCI World (Net) Index consists of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.
The RAFI Multi-Factor Developed Total Return Index. The RAFI™ Multi-Factor index series offers diversified factor exposures through allocations to value, low volatility, quality, momentum, and size. The Dynamic Multi-Factor strategy takes time-varying exposures to the same five factors. The index uses recent and historical metrics to tilt toward factor portfolios which are particularly attractive on a forward looking basis.
SciBeta Developed iHFI Diversified Multi-Beta Multi-Strategy Six-Factor Equal Weight USD Gross Total Return indices are formed by equally weighting six smart factor indices that are designed to efficiently capture the long-term risk premia associated with the well-documented risk factors of size, momentum, value, low volatility, low investment and high profitability.
The MSCI USA Value index captures large and mid cap US securities exhibiting overall value style characteristics. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
The S&P Dividend Aristocrats Index measures the performance of S&P 500 companies that have increased dividends every year for the last 25 consecutive years.
The S&P Composite 1500 Index combines three leading indices, the S&P 500, the S&P MidCap 400, and the S&P SmallCap 600, to cover approximately 90% of U.S. market capitalization. It is designed for investors seeking to replicate the performance of the U.S. equity market or benchmark against a representative universe of tradable stocks.
The S&P 500 Pure Value Index a style-concentrated index designed to track the performance of stocks that exhibit the strongest value characteristics by using a style-attractiveness-weighting scheme.
The S&P 500 Value Index is a float-adjusted market capitalization weighted index that measures value stocks using three factors: the ratios of book value, earnings, and sales to price. The index covers all stocks in the parent index universe, and divides the complete market capitalization of each parent index approximately equally into growth and value indices. The index is a part of the S&P U.S. Style Indices that measures the performance of U.S. equities fully or partially categorized as either growth or value stocks, as determined by style scores for each security.
The Russell 1000 Value Index measures the performance of the large cap value segment of the US equity universe. It includes those Russell 1000 companies with relatively lower price-to-book ratios, lower I/B/E/S forecast medium term (2 year) growth and lower sales per share historical growth (5 years).
The Russell 3000 Value Index measures the performance of the broad value segment of the US equity value universe. It includes those Russell 3000 companies with relatively lower price-to-book ratios, lower I/B/E/S forecast medium term (2 year) growth and lower sales per share historical growth (5 years). The Index is reconstituted annually to ensure the represented companies continue to reflect value characteristics.
The views expressed herein may include those of the Neuberger Berman Equity Research team. The views of the Equity Research team may not reflect the views of the firm as a whole, and Neuberger Berman advisers and portfolio managers may take contrary positions to the views of the Equity Research team. The Equity Research team’s leading indicators and research models are based upon a variety of inputs, including markets surveys, market prices and government and economic data. The Equity Research team’s views do not constitute a prediction or projection of future events or future market behavior. Discussions of any specific sectors and companies are for informational purposes only. This material is not intended as a formal research report and should not be relied upon as a basis for making an investment decision. The firm, its employees and advisory accounts may hold positions of any companies discussed. Specific securities identified and described do not represent all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that any investments in securities, companies, sectors or markets identified and described were or will be profitable.
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