Tag Archives: sector allocation

What Are Large-Cap Active Managers Up To? A Decomposition of Their Active Sector and Factor Bets (Part I)

The SPIVA U.S. Mid-Year 2017 Scorecard shows that the relative performance of actively managed domestic equities funds across large-, mid-, and small-cap segments has improved in recent months.  For example, only 56.56% of large-cap equity managers underperformed the S&P 500® for the one-year period, whereas 84.62% underperformed the benchmark at mid-year 2016.[1]  More importantly, when Read more […]

Security Selection & Sector Allocation Effects of Equal Weighting the S&P 500®

Constituents of the S&P 500 Equal Weight (EW) and S&P 500 are identical, but the EW version is rebalanced quarterly so that every company has equal representation after the rebalance.  That often results in significantly different performance between the two indices, because equal weighting gives more representation to smaller stocks and alters the distribution of Read more […]

Not Your Father’s Low Volatility Strategy

Low volatility strategies were a popular and growing category in 2015, and if the first several days of 2016 are any indication, it wouldn’t be surprising to see their popularity continue in the new year. That said, the topic of low volatility investing often comes with much discourse. A frequent argument is that a low Read more […]

A Curious Incident

“Is there any point to which you would wish to draw my attention?” “To the curious incident of the dog in the night-time.” “The dog did nothing in the night-time.” “That was the curious incident,” remarked Sherlock Holmes. Arthur Conan Doyle, “Silver Blaze” (1892) Sometimes, as Holmes appreciated, what is missing is as interesting as Read more […]

Variety is the spice of life….and it’s essential for indices, too.

Recently, I seem to have gotten a bit addicted to online shopping, after experiencing the ease of online transactions and the constant exposure to multiple options. Choice is important, and we are increasingly becoming spoiled by abundant choices in our everyday lives, be it with consumer goods or investments.  Online transactions are gaining popularity, not Read more […]

Unconstrained Sector Weighting: A Feature, Not a Side Effect

Although the low volatility anomaly was first documented more than 40 years ago, it was the trepidation and volatility in the years following the most recent financial crisis that propelled the concept to the forefront of investor interest.  In recent years, the phenomenon has been well covered, by both academics and the investment community, in the Read more […]

Could Price Momentum Predict Australian Sector Returns?

Sector allocation is one of the main pillars of equity portfolio management, and its use as a strategy to optimize investment allocations through sector rotation is increasingly abundant. In Australia, the equity market is diversified in sectors, and some of them can be traded through exchange-traded funds, making it possible to implement a rotation strategy. Read more […]