Tag Archives: factors

The Trump Rally – A Macroeconomic Perspective

As noted in a previous blog, The Trump Rally – One Year Later, the Domestic Revenue Portfolio underperformed the foreign revenue portfolio during the one-year period since the 2016 U.S election.  We showed that currency movements may have negatively impacted the performance of the Domestic Revenue Portfolio. To better understand the currency risk of the Read more […]

Are Quality Stocks Expensive in China?

Quality investing has been one of the most widely accepted investment philosophies.  The attractiveness of quality stocks stems from their defensive nature under distressed market conditions.  In China’s A-Share market, quality stocks have gained renewed attraction in 2017.  In the first nine months of 2017, the quality portfolio outperformed the other factor portfolios in absolute Read more […]

Does Low Volatility Enhance Dividend Investing in the Hong Kong Market?

As discussed in my previous blog, dividend investing has gained popularity across regions, driven by the low interest rate environment and aging demographics in different high income regions.  A similar trend is observed in China and Hong Kong.  Facilitated by the Hong Kong-Mainland Stock Connect programs, mainland market participants can more easily invest in the Read more […]

The Growth of Dividend Investing and Driving Forces

Dividend investing is an ever popular topic across different markets.  Market participants have been using ETFs to implement various dividend strategies for more than a decade.  The first dividend ETF, the iShares Select Dividend, was launched in 2003.  Nevertheless, dividend ETPs have experienced tremendous growth in assets since year-end 2009.  As of June 30, 2017, 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 […]

The Much-Maligned Market Portfolio

It seems generally acknowledged that no investment strategy should be expected to offer an optimal trade-off between return and risk in all periods.  Yet I often hear criticism of market-cap weighting, presumably because modern portfolio theory (MPT) postulates a hypothetical market portfolio as efficient in the mean-variance sense.  Financial engineers, product developers, and asset managers Read more […]

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 […]

The S&P GIVI Japan Posts Impressive Five-Year Live Track Record

The S&P GIVI (Global Intrinsic Value Index) Japan posted an impressive five-year live track record.  It is one of the few multi-factor indices in the market, and it was launched five years ago.  Since its launch in March 2012, the S&P GIVI Japan has outperformed its benchmark, the S&P Japan BMI, by 1.17% per year, Read more […]

Q&A: What is factor investing?

We recently hosted Tim Edwards, Senior Director, Index Investment Strategy at S&P Dow Jones Indices, for an in-depth discussion about factor-based investing and the role it can play in a diversified portfolio. Chris: What is factor investing? What are the factors? Tim: To be a factor, two things in particular need to be true. The Read more […]

Avoiding Beta Pollution in the Search for Value

In our latest S&P 500® Factor Indices Dashboard, Tim Edwards wrote, “Value’s return to form came after a decade of meagre pickings.  In fact, value recorded in its best annual relative performance since 2000.” Small wonder then that the S&P 500 Enhanced Value Index and S&P 500 Pure Value were popular topics of financial advisor Read more […]