Introducing GIVI: The S&P Global Intrinsic Value Index

38 Pages Posted: 22 May 2012

See all articles by Priscilla Luk

Priscilla Luk

S&P Dow Jones Indices

Xiaowei Kang

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Frank Luo

Standard & Poor's

Date Written: May 18, 2012

Abstract

Launched in March 2012, the S&P GIVI (Global Intrinsic Value Index) is a rules-based, global equity strategy index designed to capture two well- documented, persistent anomalies in the equity markets – namely, the low- volatility and value anomalies. The S&P GIVI tries to deliver – in a single index – both lower volatility and an alternative stock weighting scheme, whereby each stock is weighted by its intrinsic value, rather than its market capitalization.

Keywords: Low Volatility, Value Investing, Alternative Weighting, Index, Intrinsic Value

JEL Classification: G11

Suggested Citation

Luk, Priscilla and Kang, Xiaowei and Luo, Frank, Introducing GIVI: The S&P Global Intrinsic Value Index (May 18, 2012). Available at SSRN: https://ssrn.com/abstract=2062468 or http://dx.doi.org/10.2139/ssrn.2062468

Priscilla Luk

S&P Dow Jones Indices ( email )

55 Water Street
New York, NY 10041
United States

Xiaowei Kang

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) ( email )

P.O. Box 1738
Room T08-21
3000 DR Rotterdam, 3000 DR
Netherlands

Frank Luo (Contact Author)

Standard & Poor's ( email )

55 Water Street
New York, NY 10041
United States
212-438-5057 (Phone)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
240
Abstract Views
2,516
rank
186,040
PlumX Metrics