Weekly Reputation Index Metrics
At the close of trading March 31, 2017, REPUSPX, REPUVART, and REPUVAR stood at 5311.11, 4172.79 and 3310.55 respectively. Over the past four weeks, the three have changed by 0.49%, 1.78%, and 1.66%. The benchmark S&P500 Composite Index stood at 2057.98 (31 Dec 2001=1000) and has changed over the past four weeks by -0.86%. The current calendar year spread between REPUVAR and the S&P500 is 2.00%.
Over the trailing twelve months, REPUVART and REPUVAR have, respectively, changed by 20.76% and 18.68% respectively; the S&P500 Composite Index has changed by 14.71%. The trailing 12-month spread between REPUVAR and the S&P500 is 3.97%.
Over the trailing 36 months, the REPUVART and REPUVAR have changed by 15.89% and 10.11% respectively; the S&P 500 Composite Index has changed by 25.31%.
The trailing 12-month, and trailing 36-month returns for REPUSPX are 20.97%, and 25.31% respectively. The trailing 12-month spread between REPUSPX and the S&P500 is 6.26%.
The spreads between the S&P500-only index informed by reputation metrics, REPUSPX, and the broad market index informed by reputation metrics, REPUVAR, for the calendar year and for the trailing twelve months respectively are -0.88% and -2.28%.
Side Note: A description of the portfolio constituents and historical returns data from December 31, 2001 can be obtained on request from Technology Option Capital, its manager. Click Here.
BackgroundThe RepuStars® Variety Corporate Reputation Index calculated by S&P/Dow Jones Indexes is the first-ever composite equity index based on a quantitative value strategy informed by the Steel City Re Reputational Value Metrics. The metrics comprise non-financial indicators of reputational value (RVM) and ranking (CRR).
The RepuStars Variety Corporate Reputation Index has two versions: a total returns index and a price index, whose ticker symbols are, respectively, REPUVART and REPUVAR. Click on the ticker names for real time quotes.
The RepuStars Variety Corporate Reputation Index tracks up to 57 company stocks that appear to be underpriced relative to Steel City Re’s proprietary Reputational Value Metrics™, which track 7400 companies weekly. The principles behind measuring reputational value are described in the book, Reputation, Stock Price, and You: Why the market rewards some companies and punishes others (2012, Apress).
The RepuStars indices are reconstituted annually in the first week of January and posted by S&P/Dow Jones Indexes in the third week. The Indices were last reconstituted at the close of the markets 23 January 2017.
REPUSPX is a pocket index with portfolio constituents being selected algorithmically by the same criteria as the constituents for REPUVAR and REPUVART, except that the field of eligible companies is limited to constituents of the S&P500 composite equity index. Click here for an analysis of periodic returns.
The design of the portfolio is governed by principles of behavioral economics, market signaling, and the implicit timing arbitrage between the behaviors of equity stakeholder and all other stakeholders.