The S&P U.S. Style Indices underwent their annual rebalancing in December 2024, leading to significant changes in sector exposures. Particularly, the S&P 500 style reclassification led to above-average turnover, as shown in Exhibit 1. While the S&P 500 Growth’s turnover was not unusual, the S&P 500 Value’s turnover was relatively high compared to the historical average of 23%.

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The S&P U.S. Style Indices’ methodology aims to divide the market capitalization of the underlying index roughly equally into growth and value indices. Style scores are calculated for each company based on three factors to measure growth and value, as listed in Exhibit 2. The most growth-oriented companies are placed in the growth basket until it represents 33% of the underlying index’s market cap. The same applies to the value basket. The remaining 34% form the blended basket, which has similar growth and value traits.

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Notably, three of the five largest S&P 500 Growth companies pre-rebalancing—Apple, Microsoft and Amazon (representing 31.3% of the S&P 500 Growth’s weight)—moved to the blended basket. These companies migrated due to a decline in their Growth Score: Apple ranked lower in sales growth and earnings growth relative to the underlying index (the broader basket), while Amazon and Microsoft experienced declines in earnings growth and sales growth relative to the growth basket. Only Microsoft ranked lower in momentum relative to the broader basket.

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At the sector level, Exhibits 4 and 5 show that the Information Technology and Financials sectors experienced the most significant changes, followed to a lesser extent by Industrials and Consumer Discretionary. For the S&P 500 Growth, Information Technology decreased from 49.7% to 39.9%, while Financials increased from 5.2% to 11.9%. Historically, this index has been Information Technology-heavy, but its Information Technology weight prior to the latest rebalance reached levels not seen in the past 15 years. The Financials weight almost doubled compared to the historical average of 6%.

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In contrast, the S&P 500 Value saw its Information Technology weight roughly triple from 7.9% to 24.8%, while its Financials weight decreased from 25.2% to 15.3%. The index currently has its highest Information Technology weight following the rebalance, while its Financials weight dropped to relatively low levels compared to the historical average of 22% over the past 15 years.

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Financials companies ranked high in book value to price and earnings to price, but 30% also ranked high in sales growth and momentum. This caused some companies to move from the value index to the blended basket, increasing their weight in the S&P 500 Growth by 4.1% and decreasing their weight in the S&P 500 Value by 6.0%. Additionally, companies that moved from the blended basket to the value basket resulted in a 2.6% weight increase in the S&P 500 Growth and a corresponding decrease in the S&P 500 Value.

The 2024 S&P U.S. Style Indices’ annual rebalancing led to significant sector shifts, particularly in the Information Technology and Financials sectors of the S&P 500 Growth and S&P 500 Value. These adjustments highlight the dynamic nature of the style indices and how market conditions can affect their composition, ensuring the indices accurately reflect the evolving market landscape.

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