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Alpha, used in finance as a measure of performance, is the excess return of an investment relative to the return of a benchmark index
Bloomberg US Value Portfolio represents the return of the value factor from the Bloomberg US equity model. The value factor aims to differentiate “rich” and “cheap” stocks.
Bloomberg US Growth Portfolio represents the return of the growth factor from the Bloomberg US equity model. The growth factor aims to aims to capture the difference between high and low growers by using historical fundamental and forward-looking analyst data.
Bloomberg US Size Portfolio represents the return of the size factor from the Bloomberg US equity model. The size factor is a composite metric distinguishing between large and small stocks.
Bloomberg US Quality Portfolio is a combination of three BBG Factor indices (Profitability, Leverage and Earnings Variability)
Bloomberg US Low Volatility Portfolio represents the return of the volatility factor from the Bloomberg US equity model. The volatility factor differentiates more volatile and less volatile stocks.
The Nasdaq Composite is a stock market index that includes almost all stocks listed on the Nasdaq stock market. Along with the Dow Jones Industrial Average and S&P 500 Index, it is one of the three most-followed stock market indices in the United States. The composition of the NASDAQ Composite is heavily weighted towards companies in the information technology sector. The Nasdaq-100, which includes 100 of the largest non-financial companies in the Nasdaq Composite, accounts for over 90% of the Nasdaq Composite’s movement. The Nasdaq Composite is a capitalization-weighted index; its price is calculated by taking the sum of the products of closing price and index share of all the securities in the index. The sum is then divided by a divisor which reduces the order of magnitude of the result.
S&P 500 Index measures the performance of approximately 500 widely held common stocks listed on U.S. exchanges. Most of the stocks in the index are large-capitalization U.S. issues. The index accounts for roughly 75% of the total market capitalization of all U.S. equities.
Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. As of its latest reconstitution, the index had a total market capitalization range of approximately $1.3 billion to $309 billion.
Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index. As of its latest reconstitution, the index had a total market capitalization range of approximately $128 million to $1.3 billion.