Category Archives: Smart Beta

Considering Factor Rotation Within the S&P 500 Universe

While 2017 is winding down with volatility levels at historical lows, a calmness has remained in the market for quite some time. According to Fei Mei Chan, Director of Index Investment Strategy at S&P Dow Jones Indices, the S&P 500 is on track for its least volatile year in 22 years. With volatility (or lack Read more […]

How Low Can Volatility Go?

There’s still some time remaining in 2017, but if it goes the way the year has thus far, this will be the least volatile year for the S&P 500 in 22 years. Given this context, selection to the S&P 500® Low Volatility Index (an index of the 100 least volatile stocks in the S&P 500) Read more […]

The Trump Rally – A Macroeconomic Perspective

As noted in a previous blog, The Trump Rally – One Year Later, the Domestic Revenue Portfolio underperformed the foreign revenue portfolio during the one-year period since the 2016 U.S election.  We showed that currency movements may have negatively impacted the performance of the Domestic Revenue Portfolio. To better understand the currency risk of the Read more […]

Does Value Enhance Quality Investing in China’s A-Share Market?

As discussed in my previous blog, quality investing has gained attraction in China, as high-quality stocks recorded remarkable performance in the first nine months of 2017.  As a result, the risk of paying too much for high-quality stocks has become a concern.  To address the issue, on Sept. 29, 2017 we launched the S&P China Read more […]

Does Factor Investing Deserve More Attention in Hong Kong?

Factor investing, which is also broadly referred to as smart beta, has gained popularity in the global asset management industry, especially in the exchange-traded funds segment.  Factor-based index-linked products are used as cost-effective tools to enhance return or reduce risk by increasing number of market participants in the U.S., with 20.9% of U.S. ETP assets Read more […]

Are Quality Stocks Expensive in China?

Quality investing has been one of the most widely accepted investment philosophies.  The attractiveness of quality stocks stems from their defensive nature under distressed market conditions.  In China’s A-Share market, quality stocks have gained renewed attraction in 2017.  In the first nine months of 2017, the quality portfolio outperformed the other factor portfolios in absolute Read more […]

Stock Picking AI? Elementary, My Dear Watson

Keen watchers of the ever-developing exchange-traded product space may have noticed an intriguing development last week, as the first purely “artificial intelligence”-based stock-picking ETF launched.  Powered by IBM’s “Watson” platform, the fund sponsors claim to use a proprietary quantitative model to select stocks that will outperform, based on machine learning applied to vast data sets. One cannot help wondering Read more […]

Does Low Volatility Enhance Dividend Investing in the Hong Kong Market?

As discussed in my previous blog, dividend investing has gained popularity across regions, driven by the low interest rate environment and aging demographics in different high income regions.  A similar trend is observed in China and Hong Kong.  Facilitated by the Hong Kong-Mainland Stock Connect programs, mainland market participants can more easily invest in the Read more […]

The Growth of Dividend Investing and Driving Forces

Dividend investing is an ever popular topic across different markets.  Market participants have been using ETFs to implement various dividend strategies for more than a decade.  The first dividend ETF, the iShares Select Dividend, was launched in 2003.  Nevertheless, dividend ETPs have experienced tremendous growth in assets since year-end 2009.  As of June 30, 2017, Read more […]

Credit Risk Measure in the S&P U.S. High Yield Low Volatility Corporate Bond Index

Common risk measures in equities include the volatility of price return and beta measuring price sensitivity to market.  However, in fixed income, volatility measures for bonds are not as straightforward as equities.  First, it can be challenging to obtain reliable daily prices for bonds that do not trade every day.  Second, using the simple measure Read more […]