Category Archives: Equities

Sector Volatility Conveys Most (But Not All) of the Story in the Latest S&P 500 Low Volatility Index Rebalance

In January 2018, realized volatility (rolling 252-day) for the S&P 500 reached a 27-year low. Since then, volatility has been steadily creeping up and as of April 30, 2018, it sat at 12.1%—almost double the levels in January. Despite having increased significantly, volatility is still well below the historical average of 16%. Rolling 252-Day Volatility Read more […]

A First Look Inside The Communication Services Select Sector Index

In accordance with the announced upcoming communication services sector change, the new Communication Services Select Sector Index is now live.  The select sectors are based on the Global Industry Classification Standard (GICS®) but have different construction rules than the sectors of the S&P 500.  In the Select Sectors, each index is made up of all Read more […]

Introducing the Persistence Scorecard for Latin America

Following similar studies performed by S&P Dow Jones Indices on active funds in the U.S. and Australia, we introduce the Persistence Scorecard to the Latin America region. The two aforementioned studies have demonstrated that top-performing active funds have little chance of repeating that success in subsequent years. To determine if similar conclusions can be made Read more […]

Why Indices Matter to SMSF Trustees

I spent a recent weekend at the Self-Managed Superannuation Fund (SMSF) Expo talking to SMSF trustees about indices. While I often spend Monday through Friday talking indices, to spend Saturday and Sunday chatting about indices was something new. The SMSF Association hosted the first SMSF Expo in Australia, attracting over 1,500 people over the three-day Read more […]

Performance Analysis of Liquidated Funds in Brazil

Since 2015, S&P Dow Jones Indices has been reporting on the performance of actively managed equity funds in Brazil through the S&P Indices Versus Active (SPIVA®) Latin America Scorecard. Aside from the performance of the funds, we observed that a significant number of Brazilian equity funds have liquidated or merged within the past five years. Read more […]

Here’s How A Rising Dollar Impacts Stocks

The U.S. dollar hit a 4 month high last week from concern over potentially faster interest rate hikes to control inflation as oil exceeded $70 per barrel and the lowest unemployment since 2000 was reported.  If the U.S. dollar continues to strengthen, it may be useful to know how U.S. equities moved historically in times when the Read more […]

Energy Powers Small Cap And Value In April

In April, the S&P 500 (TR) gained 0.4%, ending its first consecutive monthly loss in almost two years, but the index is still down 0.4% year-to-date (ending April 30, 2018.)  Mid caps are also down for the year, -1.0%, after the S&P 400 (TR) lost 0.3% in April.  However, Small caps pushed into positive territory, up now 1.6% Read more […]

Do Dividends Really Pay? (Part 2)

Previously I discussed why preference for dividend-paying stocks may not have a strong theoretical footing, but could be grounded in behavioral and practical reasons. Furthermore, due to possible economic signaling generated by dividends, such strategies may be correlated with widely accepted factors like quality and value. This post demonstrates how specific dividend strategy indices may Read more […]

A Closer Look at Indices Country Classifications

As large sums of global money flows now follow global indices, it is important to understand how global index providers decide on country classifications and country weightages. A global equity index typically has two components, a developed market index and an emerging market index. Until the nineties, emerging market investments were not necessarily mandatory for Read more […]

Indexing Canadian REITs: A Look at the S&P/TSX Capped REIT Income Index

In a previous blog post, Evolution of Canadian REITs, we outlined the evolution of the Canadian REITs market. In this post, we will explore in detail the S&P/TSX Capped REIT Income Index, which is designed to serve as an income-producing strategy. The index seeks to measure the performance of REIT companies in the S&P/TSX Composite, Read more […]