While factors that outperform over time are also prone to extended periods of underperformance—which are difficult to time—multi-factor strategies may offer a solution. Meet the S&P QVM Top 90% Indices, covering the U.S. large-cap, mid-cap, and small-cap universes, and combining quality, value, and momentum in a single strategy.
In this paper, we explore:
• Why quality, value, and momentum may be considered complementary factor exposures
• How index methodology affects multi-factor strategies’ performance characteristics
• How tracking error, turnover, and active share are affected by the top 90% construction approach
