Aye Soe

Managing Director, Global Research & Design
S&P Dow Jones Indices
Biography

Aye M. Soe is Managing Director, Global Research & Design, at S&P Dow Jones Indices (S&P DJI). In this capacity, Aye heads up the Americas research team. The group is responsible for conceptualization, research, and design of the S&P Global core and quantitative equity, fixed income, commodities, volatility (VIX futures based), multi asset, sustainability (ESG), and alternative asset strategy indices. Aye also regularly publishes on a number of headline S&P DJI publications as well as research papers related to capital markets and investment concepts.

Aye is a frequent contributor to financial media outlets such as Wall Street Journal, Financial Times, New York Times, Barron’s, and CNBC. Her research papers have been published in peer-reviewed practitioners’ journals such as Journal of Index Investing and Journal of Investment Strategies.

Aye is also an Adjunct Professor of Finance at Hofstra University’s Frank G. Zarb School of Business, teaching MBA courses on Portfolio Theory and Investment Analysis.

Prior to joining S&P DJI in 2007, Aye was a research analyst within the Consulting Services Group at Morgan Stanley Private Wealth Management and an associate product manager at FactSet Research Systems.

She is a CFA charterholder and a member of the New York Society of Security Analysts (NYSSA) and the CFA Institute. Aye has a bachelor’s degree in economics from Tufts University and a master’s degree in economics from Fordham University. Aye also currently serves as a volunteer at the Benchmark Working Group within the Global Investment Performance Standards (GIPS®) at the CFA Institute.

Author Archives: Aye Soe

The S&P 500 Equal Weight Index: A Supplementary Benchmark for Large-Cap Managers’ Performance Evaluation? – Part II

In a prior blog, we demonstrated that the S&P 500® Equal Weight Index was a more difficult benchmark to outperform than the S&P 500 over intermediate- to long-term investment horizons. In this blog post, we examine the underlying factor exposures of the S&P 500 Equal Weight Index to evaluate the performance of large-cap managers. As Read more […]

The S&P 500 Equal Weight Index: A Supplementary Benchmark for Large-Cap Managers’ Performance – Part I

In January 2003, S&P Dow Jones Indices introduced the world’s first equal-weighted index, the S&P 500® Equal Weight Index, leading the way for the subsequent development of non-market-cap weighted indices.[1] Since then, looking at the index’s historical back-tested performance, it outperformed its market-cap-weighted counterpart, the S&P 500, in 16 out of 28 years, with an Read more […]

Risk-Adjusted SPIVA® Scorecard: The Evaluation of Active Managers’ Performance Through a Risk Lens

Evaluating active managers’ performance through a risk lens is rooted in modern portfolio theory (MPT), which states that the expectation of returns must be accompanied by risk—the variation (or volatility) around the expected return. MPT assumes that higher risk should be compensated, on average, by higher returns. Institutional investors tend to be interested in risk-adjusted Read more […]

Quality Part I: Defining the Quality Factor

Quality is a factor that is frequently disputed and debated. Academics and practitioners often argue whether quality is a factor at all in the traditional risk factor framework. Often times, the debate stems from the fact that there is no one consistent, overarching definition or metric to measure quality. For example, some market participants see Read more […]

What Are Large-Cap Active Managers Up To? A Look at Their Active Factor Bets Relative to the S&P 500 (Part II)

In a recent study published in the Financial Analysts Journal, Ang, Madhavan, and Sobczyk (2017)[1] highlighted that using regression-based factor loadings to measure managers’ factor exposures, even when conducted on a rolling basis, can be misleading due to excessively smoothed coefficients, given that active managers adjust their exposures dynamically. The authors argued that holdings-based attribution Read more […]

What Are Large-Cap Active Managers Up To? A Decomposition of Their Active Sector and Factor Bets (Part I)

The SPIVA U.S. Mid-Year 2017 Scorecard shows that the relative performance of actively managed domestic equities funds across large-, mid-, and small-cap segments has improved in recent months.  For example, only 56.56% of large-cap equity managers underperformed the S&P 500® for the one-year period, whereas 84.62% underperformed the benchmark at mid-year 2016.[1]  More importantly, when Read more […]

Understanding the Value Spectrum

Value investing, made famous by Benjamin Graham in his book Intelligent Investor nearly 70 years ago, is possibly the most well-known investment strategy.  Although the strategy may appear simple at first glance—buying securities with prices that are trading at discount multiples than their fundamental values—it can be tricky to implement.  For example, value can be Read more […]

15 Years of SPIVA – Where Does the Active Versus Passive Debate Go From Here?

In the inaugural publication of the Journal of Portfolio Management in 1974, Nobel Laureate Paul Samuelson wrote that there is no “brute fact” that “there could exist a subset of decision makers in the market capable of doing better than the averages on a repeatable, sustainable basis.”[1]  That article partly inspired John Bogle to launch Read more […]

Manager Outperformance: Is it Luck or Skill?

Over the years, we frequently hear from our SPIVA® and Persistence Scorecard readers that they have found their star manager or their own Warren Buffet—someone who can successfully beat the benchmark repeatedly.  Based on our 15 years of publishing the SPIVA U.S. Scorecard, we know that, on average, around 20% to 30% of domestic equity Read more […]

Impact of Rising Interest Rates on Small-Cap Indices

Rising interest rates certainly has become a central investment theme going into 2017.  The 10-Year Treasury yield closed at 2.48% on Jan. 27, 2017, representing an increase of nearly 103 bps from six months ago.  Research has shown that equities tend to perform better following a rate hike, if inflation levels are moderate.  However, return Read more […]