The market is missing footnotes, and our research is the first and best at collecting footnotes data that delivers novel alpha – as proven by the performance of our live indices as well as Core Earnings: New Data & Evidence, published in The Journal of Financial Economics.
Is there a better way to prove the alpha in our research than a live, actively-traded index that outperforms the market?
That’s exactly what happened in the first quarter of 2025 when this index beat the S&P 500 by 1%. Note the only difference between this index and the S&P 500 index is how the holdings are weighted. The Bloomberg New Constructs 500 index weights the holdings based on our proprietary Core Earnings while the legacy S&P 500 index weights based on market cap.
Consequently, it is fair to say that the performance of the two indices in the first quarter of 2025 suggests that weighting stocks based on Core Earnings adds alpha.
Details on this index:
The Bloomberg New Constructs 500 Index takes the top 500 stocks by market cap and tilts toward the companies with high Earnings Capture, based on our proprietary Core Earnings data. We like to think of this index as an enhanced version of the S&P 500, and it is enhanced by weighting the holdings based on Core Earnings instead of market cap.
Official docs: Fact Sheet and the Index Methodology.
On the Bloomberg website or terminal, you can track performance with these tickers:
- Total Return Index B500NCT:IND
- Price Return Index B500NCP:IND
- Net Return Index B500NCN:IND.
More details in Figure 1.
Figure 1: Proof Is In Performance in 1Q25: Bloomberg New Constructs 500 Beats S&P 500 by 1%
Sources: Bloomberg as of March 31, 2025.
Note: Past performance is no guarantee of future results.
This article was originally published on April 11, 2025.
Disclosure: David Trainer, Kyle Guske II, and Hakan Salt receive no compensation to write about any specific stock, sector, style, or theme.
Questions on this report or others? Join our online community and connect with us directly.