S&P/Barra Indexes - FAQ

How can I view returns for a time period not shown in the Summary table (e.g. quarterly returns for the past 10 years)?
Where can I get index constituents?
Where can I get daily index levels?
How can I get sector returns data?
What are the ticker symbols for the S&P 500/Barra Growth and Value indexes?
What is Barra's source for book value?
How frequently are the index constituents revised?
What is the historical portfolio turnover rate of the S&P/Barra Growth and Value indexes?
What are risk index exposures?
Where are details about Barra's risk indexes?
Where are details about the fundamental data items?
Is it possible for the aggregate index to have a higher return than either the growth or value component?
Is it possible to view sector weights for indexes in terms of the MSCI/Standard & Poors Global Industry Classification System (GICS)?

How can I view returns for a time period not shown in the Summary table (e.g. quarterly returns for the past 10 years)?
Go to the Download Monthly Returns page, download the comma-separated file and open in Excel or Lotus, then compound the time series as appropriate in the spreadsheet program.

Where can I get index constituents?
If you wish to receive the current index constituents (without asset weights), Standard & Poors provides a list at its website (click an index, then click "File Downloads"). Historical index constituents and asset weight data is available from Barra. Depending on your relationship with Barra, there may or may not be a charge for this information. Please contact us for more information.

Where can I get daily index levels?
Daily index level data for the S&P/Barra Growth and Value indexes can be purchased from Standard and Poors. Please contact S&P's Index Services Division at (212) 438-2046, or send email to index_services@standardandpoors.com.

How can I get sector returns data?
Neither Barra nor Standard & Poors offers sector returns data for the S&P/Barra Growth and Value indexes.

What are the ticker symbols for the S&P 500/Barra Growth and Value indexes?
The S&P/Barra indexes as such don't directly trade on exchanges. There are funds, however, that track the indexes (e.g. from Vanguard or iShares) and some Web sites that will display the indexes as benchmarks. For example, Yahoo uses the following symbols:

	Index Name	Symbol
	S&P/Barra 500 Value	^SVX
	S&P/Barra 500 Growth	^SGX
	S&P/Barra MidCap 400 Value	^MUV
	S&P/Barra MidCap 400 Growth	^MGD
	S&P/Barra SmallCap 600 Value	^CVK
	S&P/Barra SmallCap 600 Growth	^CKG

What is Barra's source for book value?
Barra uses Compustat data for book value in the computation of Price/Book values. Price/Book values are used to divide the larger index into growth and value sub-indexes. Compustat updates its information as it receives 10-Q report data from companies throughout the year.

How frequently are the index constituents revised?
Barra re-balances the Growth and Value indexes every six months, on or about January 1st and July 1st, using November 30th and May 31st data. The exact rebalance date is selected and announced by Standard & Poor's well in advance.

What is the historical portfolio turnover rate of the S&P/Barra Growth and Value indexes?
Annual turnover in the S&P/Barra 500 Growth and Value indexes has averaged about 20% and 19% respectively (on a capitalization-weighted basis) between 1993 and 1997. Turnover is due to both changes in the composition of the S&P 500 index and to changes in the relative price-to-book ratios of its constituents at the semi-annual rebalancing dates. Turnover for the S&P/Barra 400 Growth and Value indexes has averaged roughly 27% and 39%, and the turnover for the S&P/Barra 600 Growth and Value indexes has averaged roughly 41% and 37% over the same period.

What are risk index exposures?
Risk index exposures are sensitivities to shared attributes, such as Earnings Yield, computed each month by combining fundamental and market data using proprietary formulae. They are expressed as standardized numbers that range (usually) from -5 to +5. The average (capt-weighted) stock in the estimation universe has an exposure of zero.

Each month, exposures for the risk indexes are computed for the 11,500+ U.S. stocks Barra follows. First, "raw" descriptors which are ratios or attributes of companies are calculated. Second, these raw descriptors are standardized with respect to the estimation universe. And, last, the standardized descriptors are grouped into risk indexes using proprietary formulae.

The risk index exposure value for each S&P/Barra index is the capitalization-weighted average exposure for all of the index constituents.

Where are details about Barra's risk indexes?
Descriptions of each risk index in the U.S. Equity Model can be found under the details link on the risk index exposures and risk index charts pages.

Where are details about the fundamental data items?
Descriptions of each of the fundamental data items can be found under the details link on the fundamentals summary page.

Is it possible for the aggregate index to have a higher return than either the growth or value component?
Yes, it is possible, but unusual. Because the aggregate index is equal parts growth and value, the return of the aggregate index will typically be midway between the returns of the style indexes that comprise it over a given period. However, because the style indexes are rebalanced to be half the aggregate index only each six months, it is possible, under certain circumstances, for the aggregate index to outperform the style components. For example, if value outperforms growth for six months, at the end of the six month period the cumulative return of the aggregate index will be closer to value than growth because the weight of the value component increased over the six months that it outperformed. The indexes are rebalanced so 50% of the aggregate index is in growth and 50% in value. If growth then outperforms value for six months, the 12 month cumulative aggregate return can be higher than either value or growth.

Is it possible to view sector weights for indexes in terms of the MSCI/Standard & Poors Global Industry Classification System (GICS)?
Barra does not currently publish sector weights for indexes based on GICS. Instead, sector weights are reported based on Barra's proprietary multiple-industry allocation. This method allows conglomerates and other companies with multiple lines of business to be divided among up to five industry segments.

If your question wasn't answered here, send us a detailed e-mail.