Asian Asset Owners Are Leapfrogging Into ESG

Sustainable investing has become particularly popular in Europe, across many countries.  In the Asia Pacific region, certain countries such as Japan and Australia have shown stronger interest in ESG thanks to asset owner demand, availability of ESG data, and regulatory pressures.  In the last couple of years, we have seen some of Japan’s largest institutional Read more […]

Australian Markets: Mid Caps a Sweet Spot for Investors

We have previously taken a dive into performance differences between Australian market cap segments and observed that mid caps offer a “sweet spot” for market participants.  Year-to-date, this message continues to resonate—the S&P/ASX MidCap 50 has returned 10.1% as of July 13, 2017.  Meanwhile, corresponding large-, small-, and broad market indices have returned measurably less Read more […]

U.S. Yield Curve Moved by Europe

The U.S. Treasury yield curve, as represented by the S&P U.S. Treasury Bond Current Indices, ended June 14, 2017, tighter (lower in yield) than the previous day.  The importance of June 14 is that it was the day on which the U.S. Federal Reserve raised the target rate by 25 bps, from 1% to 1.25%.  The following 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 […]

How the Liquidity of S&P 500 Investment-Grade Bonds Compares Against Non-S&P 500 Bonds

Liquidity may be defined as the ability to buy or sell a bond within a reasonable period of time and at a reasonable price.  A simple way to compare two bonds is through the use of Trade Reporting and Compliance Engine (TRACE) daily volume data.  The data represents the daily aggregation of each reported trade Read more […]

When Market Timing Is Unusually Pointless

Among the many themes to have emerged in U.S. markets during the first six months of 2017, low volatility in equities and changes in the global interest rate environment—some realized and some anticipated—were particularly important drivers.  In a similar vein to our summary on Europe, here are some thoughts on these trends. The potential rewards Read more […]

How to Address Retirement Income in Investment Policy Statements

Recently, the US Department of Labor (DOL) turned its attention to the adequacy of a retirement plan participant’s account balance, stimulating two debates about how to improve participant outcomes.[1] The first debate concerns how to help participants measure their “retirement readiness” in terms of income replacement at retirement. The second centers on whether there are Read more […]

VIX Hit Below 10 in Q2: What Do We Know From the Past?

With the French election ending in the defeat of Le Pen, one more risk factor has been removed from the table and low volatility has returned.  In Q2, the CBOE Volatility Index (VIX®) fell below 10 seven times, and the closing level of 9.75 on June 2, 2017, was the lowest since 1993.  Do these Read more […]

Tips and Tricks in Reading the Persistence Scorecard

Much has been written about the persistence of manager performance.  The S&P Persistence Scorecard attempts to track the status of top quartile and top half managers over specified subsequent periods.  Over the years, we have received a fair amount of inquiries from our readers regarding the computation, methodology, and interpretation of results.  This blog attempts Read more […]

Mightier than Le Pen

We publish a series of dashboards at the end of each month to summarize market performance in a number of regions. These dashboards include monthly reports on Risk and Volatility, as well as Factor Dashboards for the U.S. and for Europe on a quarterly basis. With June behind us, a half-yearly summary is in order. Read more […]