Tag Archives: Size factor

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 […]

How Equal Weight Avoided Japan’s “Lost Decades”

S&P Dow Jones Indices recently launched the S&P Japan 500 Equal Weight Index, an equal-weight version of the S&P Japan 500.  Over the 15-year period ending in February 2018, encompassing the latter part of Japan’s so-called “lost decades” of stagnant equity returns, the equal-weight index would have outperformed the cap-weighted Japanese equity benchmark by a stonking Read more […]

The Impact of Size on Active Management Performance in 2017: Part 1

U.S. equity markets finished 2017 on a strong note, with the S&P 500® returning 21.83% during the one-year period ending on Dec. 31, 2017. This was followed by the S&P MidCap 400® and S&P SmallCap 600® returning 16.24% and 13.23%, respectively. Despite market-cap weighting being a dominant form of indexing, equal weighting has outperformed on Read more […]

Avoid Unintended Stock Market Bets by Understanding Benchmarks

In a recent Financial Planning article,[1] Craig Israelsen advocated using stock market size segments to construct portfolios rather than a total market approach.  His conclusion may be perfectly valid for market participants willing and able to bear greater small-stock exposure, but his analysis fails to adequately take account of this source of risk.  He compared Read more […]

Australian Markets: Mid Caps a Sweet Spot for Investors

We have previously taken a dive into performance differences between Australian market cap segments and observed that mid caps offer a “sweet spot” for market participants.  Year-to-date, this message continues to resonate—the S&P/ASX MidCap 50 has returned 10.1% as of July 13, 2017.  Meanwhile, corresponding large-, small-, and broad market indices have returned measurably less Read more […]