All Share Factor

The All Share Factor indices are “smart beta” indices seeking to provide a different risk/return profile to standard indices, which typically weight stocks by their market capitalisation. The constituents of the FTSE/JSE All Share Index (J203) are used as the basis for inclusion to the All Share Factor Indices. The underlying weights of the All Share constituents are capped at 5% before any factor tilt is applied so that the factor impacts can be more effectively isolated. The All Share Factor Index suite consists of eight indices, of which six are single factor indices and two are multi-factor indices.

For further details regarding the FTSE/JSE All Share Factor indices and the underlying methodology, please refer to the FTSE Global Factor Index Series Ground Rules available on http://www.ftse.com/products/indices/factor

 Index Details

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  • All Share Value Factor (J203VF)

    The All Share Value Factor Index is a single factor index.  Characteristics: Stocks that appear cheap tend to perform better than stocks that appear expensive.  Metrics: Cash Flow Yield, Earnings Yield and Sales to Price.
    Characteristic     Description
    Name     All Share Value Factor
    Index CodeJ203VF
    Alpha CodeAVFI
    Index CategoryAll Share Factor
    ​​UniverseAll Share Index (J203), constituents capped at 5%
    Fixed No. of Companies    No
    Liquidity Screening    Yes
    Free Float ScreeningMinimum of 15%
    Other ScreeningValue Factor Screening
    Minimum security level weight threshold of 2 basis points
    Maximum stock level capacity ratio applied at 20x
    Industry Weight constraints applied relative to the weight of each industry 
    Weighting MethodologyValue Factor Weighted
    Capping MethodologyNo
    Index Review        Annually in September
    Buffer Size      N/A
    Dissemination            End of Day
    Live Date              2017/07/31
  • All Share Quality Factor (J203QF)
    ​The All Share Quality Factor Index is a single factor index.  Characteristics: Higher quality companies tend to perform better than lower quality companies.  Metrics: ROA, Change in Asset Turnover, Accruals, Leverage.
    CharacteristicDescription
    NameAll Share Quality Factor
    Index CodeJ203QF
    Alpha CodeAQFI
    Index CategoryAll Share Factor
    UniverseAll Share Index (J203), constituents capped at 5%
    Fixed No. of CompaniesNo
    Liquidity Screening            Yes
    Free Float ScreeningMinimum of 15%
    Other Screening  Quality Factor Screening
    Minimum security level weight threshold of 2 basis points
    Maximum stock level capacity ratio applied at 20x
    Industry Weight constraints applied to the weight of each industry
    Weighting MethodologyQuality Factor Weighted
    Capping MethodologyNo
    Index ReviewAnnually in September
    Buffer Size            N/A
    DisseminationEnd of Day
    Live Date              2017/07/31
  • All Share Volatility Factor (J203VOF)
    The All Share Volatility Factor Index is a single factor index.  Characteristics: Stocks that exhibit low volatility tend to perform better than stocks with higher volatility.  Metrics: Standard Deviation of 5 years weekly total return.
    CharacteristicDescription
    NameAll Share Volatility Factor
    Index CodeJ203VOF
    Alpha CodeAVOF
    Index CategoryAll Share Factor
    UniverseAll Share Index (J203), constituents capped at 5%
    Fixed No. of CompaniesNo
    Liquidity Screening            Yes
    Free Float ScreeningMinimum of 15%
    Other Screening  Volatility Factor Screening
    Minimum security level weight threshold of 2 basis points
    Maximum stock level capacity ratio applied at 20x
    Industry Weight constraints applied relative to the weight of each industry
    Weighting MethodologyVolatility Factor Weighted
    Capping MethodologyNo
    Index ReviewAnnually in September
    Buffer Size            N/A
    DisseminationEnd of Day
    Live Date              2017/07/31
  • All Share Size Factor (J203SF)

     

    ​The All Share Size Factor Index is a single factor index.  Characteristics: Smaller companies tend to perform better than larger companies.  Metric: Market Capitalisation.
    CharacteristicDescription
    NameAll Share Size Factor
    Index CodeJ203SF
    Alpha CodeASFI
    Index CategoryAll Share Factor
    UniverseAll Share Index (J203), constituents capped at 5%
    Fixed No. of CompaniesNo
    Liquidity Screening            Yes
    Free Float ScreeningMinimum of 15%
    Other Screening  Size Factor Screening
    Minimum security level weight threshold of 2 basis points
    Maximum stock level capacity ratio applied at 20x
    Industry Weight constraints applied relative to the weight of each industry
    Weighting MethodologySize Factor Weighted
    Capping MethodologyNo
    Index ReviewAnnually in September
    Buffer Size            N/A
    DisseminationEnd of Day
    Live Date              2017/07/31
  • All Share Yield Factor (J203DF)
    ​​​The All Share Yield Factor Index is a single factor index.  Characteristics: Higher yielding stocks (dividends) tend to perform better than stocks with lower yields.  Metrics: 12 Month Rolling Dividend Yield.
    CharacteristicDescription
    NameAll Share Yield Factor
    Index CodeJ203DF
    Alpha CodeADFI
    Index CategoryAll Share Factor
    UniverseAll Share Index (J203), constituents capped at 5%
    Fixed No. of CompaniesNo
    Liquidity Screening            Yes
    Free Float ScreeningMinimum of 15%
    Other Screening  Yield Factor Screening
    Minimum security level weight threshold of 2 basis points
    Maximum stock level capacity ratio applied at 20x
    Industry Weight constraints applied relative to the weight of each industry
    Weighting MethodologyYield Factor Weighted
    Capping MethodologyNo
    Index ReviewAnnually in September
    Buffer Size            N/A
    DisseminationEnd of Day
    Live Date              2017/07/31
  • All Share Momentum Factor (J203MF)
    ​The All Share Momentum Factor Index is a single factor index.  Characteristics: Stock performance tends to persist, either continuing to rise or fall.  Metrics: 12 Month Cumulative Total Return.
    CharacteristicDescription
    NameAll Share Momentum Factor
    Index CodeJ203MF
    Alpha CodeAMFI
    Index CategoryAll Share Factor
    UniverseAll Share Index (J203), constituents capped at 5%
    Fixed No. of CompaniesNo
    Liquidity Screening            Yes
    Free Float ScreeningMinimum of 15%
    Other Screening  Momentum Factor Screening
    Minimum security level weight threshold of 2 basis points
    Maximum stock level capacity ratio applied at 20x
    Industry Weight constraints applied relative to the weight of each industry
    Weighting MethodologyMomentum Factor Weighted
    Capping MethodologyNo
    Index ReviewAnnually in September
    Buffer Size            N/A
    DisseminationEnd of Day
    Live Date              2017/07/31
  • All Share Low Volatility Focused Factor (J203LF)
    ​The All Share Volatility Focused Factor Index is a multi-factor index.  Metrics: Obtained by tilting towards the quality, value and size factors as well as twice by the volatility factor.​ ​
    CharacteristicDescription
    NameAll Share Low Volatility Focused Factor
    Index CodeJ203LF
    Alpha CodeAVFF
    Index CategoryAll Share Factor
    UniverseAll Share Index (J203), constituents capped at 5%
    Fixed No. of CompaniesNo
    Liquidity Screening            Yes
    Free Float ScreeningMinimum of 15%
    Other Screening  Volatility Focused Factor Screening
    Minimum security level weight threshold of 2 basis points
    Maximum stock level capacity ratio applied at 20x
    Industry Weight constraints applied relative to the weight of each industry
    Weighting MethodologyVolatility Focused Factor Weighted
    Capping MethodologyNo
    Index ReviewAnnually in September
    Buffer Size            N/A
    DisseminationEnd of Day
    Live Date              2017/07/31
  • All Share Comprehensive Factor (J203CF)
    ​The All Share Comprehensive Factor Index is a multi-factor index.  Metrics: Obtained by tilting towards the quality, value, momentum, size and volatility factor.​ ​
    CharacteristicDescription
    NameAll Share Comprehensive Factor
    Index CodeJ203CF
    Alpha CodeACFI
    Index CategoryAll Share Factor
    UniverseAll Share Index (J203), constituents capped at 5%
    Fixed No. of CompaniesNo
    Liquidity Screening            Yes
    Free Float ScreeningMinimum of 15%
    Other Screening  Comprehensive Factor Screening
    Minimum security level weight threshold of 2 basis points
    Maximum stock level capacity ratio applied at 20x
    Industry Weight constraints applied relative to the weight of each industry
    Weighting MethodologyComprehensive Factor Weighted
    Capping MethodologyNo
    Index ReviewAnnually in September
    Buffer Size            N/A
    DisseminationEnd of Day
    Live Date              2017/07/31

     

 Related Documents

 

 

Factor Indices BrochureFactor Indices Brochurehttps://www.jse.co.za/content/JSEBrochureItems/Factor Indices Brochure.pdfpdf

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