Combining Value and Growth in a Pure Style Way

When it comes to style investing, pure style indices that select and weight securities based on their style scores tend to be less correlated with each other, have higher return spreads, and higher betas to the benchmark than the traditional market-cap-weighted style indices that have overlapping securities. Additionally, when one style is favored over the Read more […]

Introducing the S&P GCC Factor Indices

The start of 2019 marks not only the 10th anniversary of S&P Dow Jones Indices in Dubai, but also the expansion of our single- and multi-factor index series into the Gulf Cooperation Council (GCC) region. Our current suite of single factor indices, including those covering low volatility, momentum, enhanced value, and quality factors, are now Read more […]

Low Volatility Index Shows Its Utility

The S&P 500 Low Volatility Index® made a valiant comeback in late 2018 after trailing for most of the year.  The strategy index finished the year well by just staying in positive territory at a 0.27% gain, when the broader S&P 500 declined 4%.  It was also the best performing factor index among those based Read more […]

Confusing Style and Selection

A headline from yesterday was very intriguing: “Why investors crave a return to the art of stock-picking.”  Copious data demonstrate the peril of placing hope in active management.  The article argues that since we seem to be in a trend that favors value, it is a good time for managers to pick stocks based on Read more […]

Volatility and Active Management

Recently, a number of reports highlighted a surge in popularity for actively managed U.S. equity funds in 2019.  The main explanation for this trend appears to be the volatility observed in the final few months of 2018: market participants seem to believe active managers are better able to navigate more volatile markets.  However, the data Read more […]

An Unexpected Outcome for Stock Pickers?

Active managers were welcomed by a disheartening headline this morning. “The 2018 Comeback That Wasn’t for Stock Pickers” highlights that “just 38% of actively managed U.S. stock funds tracked by Morningstar outperformed their counterparts at passively managed funds last year.”  This should hardly have been considered shocking.  Both long-term and more recent data (notably including Read more […]

S&P Pure Style Indices: Implications of Higher Return and Correlation Spread

The S&P Style Indices and S&P Pure Style Indices take distinct approaches in differentiating between value and growth factors. In past blogs,[1] we examined how differences in index construction can affect the performance of the indices in both series over a long-term investment horizon. In this blog, we examine how the suite of pure style Read more […]

S&P BSE SENSEX During the Modi Administration’s Budget Sessions

Every year in India, the Finance Minister presents the Union Budget, which is perhaps the most important economic activity in the country. “Budget Day” comes with a lot of expectations, and it therefore has a bearing on the capital markets in both the pre- and post-budget sessions. The days before and after the budget session Read more […]

Active Management for Volatile Times?

This morning brought a report that “retail investors have returned to Wall Street, pouring money into mutual funds focused on US equities for the first time since early 2015, according to data from TrimTabs Investment Research…. ‘Maybe people think, in times of higher volatility, active managers will do a better job,’ Winston Chua, an analyst Read more […]

Quantifying Fee Drag on Investment Returns

The impact of fees on investment returns is a widely studied and much debated topic. Over the past decade, as index-linked, lower-cost passive investing has taken hold, fees have become a greater focus. In recent years, there have been several studies published examining the impact of fees on performance. The U.K’s Financial Conduct Authority (FCA), Read more […]