Tag Archives: Equities

The Height of the Hurdle

Indexing provides many rewards, including a reduction in volatility. Asset owners should demand higher returns to justify the volatility that active management entails. For managers who put their stock selection skills to the test, it is worth understanding the height of the volatility hurdle in managing a portfolio’s risk/return profile. We can illustrate this by Read more […]

2018 SPIVA® Scorecard: Volatility Does Not Help Active Performance

Contrary to the myth that active managers tend to fare better than their benchmarks during volatile markets, 68.83% of domestic equity funds lagged the S&P Composite 1500® during the one-year period ending Dec. 31, 2018, making 2018 the fourth-worst year for active U.S. equity managers since 2001 (see Exhibit 1). Evidence from the SPIVA U.S. Read more […]

Can All the Children be Above Average?

February has been a great month for factor index performance: of the 17 S&P 500®-based factor indices reported in our quarterly factor dashboard, 11 have outperformed the “vanilla” S&P 500 so far.  Our indices focused on quality and shareholder return are having particularly strong months, with the S&P 500 Dividend Aristocrats®, the S&P 500 Buyback Read more […]

As goes January, so … what?

“The more you look at ‘common knowledge’, the more you realise that it is more likely to be common than it is to be knowledge” – Idries Shah, Reflections Statements such as “sell in May and go away” can become accepted wisdom without always facing proper scrutiny.  Another aphorism, particularly timely at the present moment, is Read more […]

Looking at Sectors With a Style Lens

We’ve previously observed that we can view the world through both a factor and a sector lens, but what about overlaying sectors and style? This is indeed possible, as sectors can serve as implementation vehicles to achieve a particular view on style. Using value and growth scores that are reset annually for every constituent within Read more […]

Volatile but Not Necessarily Disastrous

In 2018, the S&P 500 declined for the first time in 10 years. The year’s 4% decline is obviously de minimis compared to 2008’s 37% plunge, though investors may feel it more keenly since the fourth quarter’s 14% decline erased what had been a profitable year.  Nonetheless, the risk landscape changed dramatically in 2018 compared Read more […]

Breaking Down Volatility

“Data! Data! Data!” he cried impatiently. “I can’t make bricks without clay.” – Sherlock Holmes (in “The Adventure of the Copper Beeches”) Despite yesterday’s hand wringing loss for equity markets— the S&P 500 dropped 3.3%—the index is still up 5.8% year to date 2018. Nevertheless, losing in one day a third of what the equity market Read more […]

The S&P 600 Escapes Suffocation From Q4 Benchmark Hugging

Small caps are outperforming large caps significantly in 2018, mainly from the tax cuts, growth,  strong dollar and concern about international trade.  This has driven the S&P 600 (TR) 8.4% higher than the S&P 500 (TR) (year-to-date through Aug.31, 2018,) measuring the 5th biggest small cap premium in history since 1995, and is the biggest Read more […]

Introducing the S&P Global 1200 Communication Services Sector

The S&P Global 1200 can’t stay the same. Along with the S&P 500® and other headline indices from S&P DJI, many companies within the S&P Global 1200 will be given new sector assignments due to the upcoming Sept. 24, 2018, GICS® updates. The most visible change will be the renaming of the Telecommunication Services sector Read more […]

Relative Performance Impacts From the Introduction of Communication Services

S&P Dow Jones Indices will reshuffle stocks in September to reflect the revised structure of the Global Industry Classification Standard (GICS®) in its indices. The move will see telecommunication services replaced by a new sector called communication services. Its constituents will transfer from telecommunication, information technology (IT), and consumer discretionary. Exhibit 1 shows affected S&P Read more […]