Tag Archives: factor analysis

Multiple Paths to Multiple Factor Indexing

Single factor “smart beta” indicized strategies that were once exclusive to the realm of active management.   Multifactor indexing is beginning to garner much interest as the newest chapter of index innovation. It’s a natural conjecture that if single factors are successful, combining more than one factor should prove even more beneficial.   While any combination of Read more […]

Most Things Are Relative

The S&P 500 Low Volatility Index measures the performance of the 100 least volatile stocks in the S&P 500. In its latest quarterly rebalance (effective at the market close on February 17, 2017), the index scaled back weightings in Utilities, Health Care and Real Estate while adding weight from the Technology, Financials and Consumer Discretionary Read more […]

Using Factor Analysis to Explain the Performance of Dividend Strategies

Factor tilts have resulted in divergent dividend strategy performance following the November elections November’s US elections have buoyed investor optimism about the potential for tax reform, increased infrastructure spending, reduced regulation and accelerating economic growth. These expectations led to a 0.75% spike in the 10-year Treasury yield between Nov. 8 and Dec. 16, and a Read more […]