Most S&P and Dow Jones Islamic Indices Outperformed Conventional Benchmarks in Q1 Driven by Strength in the Technology Sector

Most S&P and Dow Jones Shariah-compliant benchmarks outperformed their conventional counterparts in Q1 2018, as the information technology sector—which tends to be overweight in Islamic Indices—led the market by a wide margin, and financials—which is underrepresented in Islamic indices—matched the returns of the broad market. The Dow Jones Islamic Market World Index and S&P Global Read more […]

Revenue Exposure of the S&P/ASX 200

The S&P/ASX 200 is widely regarded as the institutional investable benchmark in Australia. It is composed of the largest 200 companies listed on the Australian Securities Exchange by float-adjusted market capitalization. Although the majority of the companies are domiciled in Australia, a lot of them derive a significant portion of their revenue from foreign markets. Read more […]

The Impact of Style Classification on Active Management Performance in 2017: Part 2

In our previous blog, we highlighted the contribution to domestic equity market returns by mega-cap stocks in 2017 and the implications for active management. In this blog, we focus our discussion on investment style classification. Specifically, we analyze the impact of the style classification scheme on managers’ performance analysis, such as in the SPIVA® U.S. Read more […]

Low Volatility and Market Regime Shifts: Lessons From the First Quarter

Since antiquity, people have measured time in months. Unsurprisingly, investors tend to evaluate performance in monthly increments. This can be troublesome, as we will see in the case of low volatility, particularly during market regime changes. Low volatility strategies are designed to provide investors with protection in falling markets and participation in rising markets. Disappointments Read more […]

Carbon-Efficient Portfolio Construction Part 2: Sector-Relative Improves Efficiency

In a prior blog, we demonstrated that unconstrained carbon-efficient portfolios have significant unintended (and unfavorable) sector and risk factor tilts that can drag down performance. In this follow-up blog, we explore potential ways sector-relative, carbon-efficient portfolios can address the drawbacks of sector-unconstrained, carbon-efficient portfolios. To form sector-relative, carbon-efficient quintile portfolios, we ranked and grouped securities Read more […]

Carbon-Efficient Portfolio Construction Part 1: Unconstrained Versus Sector Relative

As more institutions start to adopt low-carbon investing into their investment processes, it’s important to understand portfolio implications of incorporating carbon risk. We recently published a research paper in which we demonstrated how carbon efficiency can be integrated into factor portfolios. In a series of blog posts, we will be discussing our findings. We evaluated Read more […]

Carbon Risk Integration: Interaction Between Carbon Risk and Traditional Risk Factors

The discussions on the merits of carbon awareness investing are evolving, and in a previous blog, we discussed how investors are interested in progressing from the current data-driven carbon emission framework to a risk-analysis-driven, two-degree pathway paradigm. The shift has been largely spurred by the Financial Stability Board (FSB) and recommendations from its Task Force Read more […]

Small Caps Rebound Big in March

The first quarter of 2018 will be remembered as the quarter that ended the 9 quarter winning streak for the S&P 500 (TR).  As the volatility rose, the market went from posting its best January since 1997, up 5.7%, to losing 3.7% in February, its first monthly loss in 15 months.  February wasn’t only bad Read more […]

Do Dividends Really Pay?

What benefits do dividend payments and dividend yields convey? The answers may sometimes be overlooked as market participants seek equity income or the perceived safety of dividend strategies. In 1961, Merton Miller and Franco Modigliani (M&M) theorized that dividend policy is irrelevant to company value.[1] Of course theories are models of reality and require simplifying Read more […]

What’s In A Sector?

Following an index announcement stating Nektar (NKTR) among other stocks would be moving to the S&P 500 prior to the open on March 19, 2018, an inquiry came in about the index impact of NKTR on the S&P SmallCap 600 Health Care Index performance.   Given the stock rose over 70% in 2018, it seemed reasonable to Read more […]