Tag Archives: size

Stocks Rocked The House Post Midterm Elections

After the S&P 500 logged its 9th worst Oct. on record, losing 6.9%, it has bounced back 2.6% month-to-date through Nov. 9, 2018.  Though the monthly returns for the eight Novembers following the historically bad Octobers were only positive twice – in 1978 (President Jimmy Carter midterm year) and 1933 – the fact there was Read more […]

Stocks On Pace For The 6th Scariest October Ever

The S&P 500 is down 9.4% month-to-date as of the close on Oct. 29, 2018, and is on pace to record its worst Oct. since 2008 and its sixth worst Oct. based on history since 1928.  The other years when the S&P 500 that lost more in Oct. than in Oct. 2018 (so far) happened Read more […]

Return Efficacy of Profitability Metrics in International Small-Cap Equity

Despite both indices representing the U.S. small-cap market, the S&P SmallCap 600® has outperformed the Russell 2000 Index in 16 out of 24 calendar years, with an annualized excess return of 1.81%.[1] Prior research by S&P Dow Jones Indices[2] found that inherent differences in index construction drove the historical return differential. Notably, the profitability inclusion Read more […]

The S&P 500 Equal Weight Index: A Supplementary Benchmark for Large-Cap Managers’ Performance Evaluation? – Part II

In a prior blog, we demonstrated that the S&P 500® Equal Weight Index was a more difficult benchmark to outperform than the S&P 500 over intermediate- to long-term investment horizons. In this blog post, we examine the underlying factor exposures of the S&P 500 Equal Weight Index to evaluate the performance of large-cap managers. As Read more […]

Introducing the U.S. S&P Select Industry Dashboard

We recently launched the monthly U.S. S&P Select Industry Dashboard, which provides key metrics, analysis of correlation and dispersion, and historical risk/return data for 20 investable select industry indices. The dashboard is a natural extension of our U.S. Select Sector Dashboard, which provides analysis for investable sectors across the large-, mid-, and small-cap ranges. For Read more […]

Active Management’s Dynamic Exposures to Size and Value Style Factors

In prior blogs,[i] we discussed the return contribution of mega-cap securities in 2017, as well as the impact of style classifications that may give small-cap active managers more autonomy to invest in significantly different risk exposures. In this blog, we look at active factor risks taken by active managers across three market-cap ranges against the Read more […]

Do Dividends Really Pay? (Part 2)

Previously I discussed why preference for dividend-paying stocks may not have a strong theoretical footing, but could be grounded in behavioral and practical reasons. Furthermore, due to possible economic signaling generated by dividends, such strategies may be correlated with widely accepted factors like quality and value. This post demonstrates how specific dividend strategy indices may Read more […]

There’s Nothing Equal About Equal Weight Returns

Let’s use the S&P 500 as a starting point since it is the most basic beta, or representation of the U.S. stock market.  Since its launch in 1957, it has grown with the stock market and has become the most widely used benchmark of the U.S. stock market with numerous products tracking it.  Although in Read more […]

The Evolution of Indian Indices

A recent stipulation by SEBI for the mutual fund industry outlines how to treat size classifications and suggests that funds need to be very explicit in their stock selection and fund categorization when it comes to stock sizes. SEBI laid down rules for categorizing funds based on component stock sizes and fund houses have to Read more […]

Lack of Performance Persistence Continues for Actively Managed U.S. Equity Funds

The results are in for the latest S&P Persistence Scorecard. Based on data as of Sept. 30, 2017, the results again highlight the lack of performance persistence among actively managed equity funds. Produced semiannually, the S&P Persistence Scorecard highlights the degree of difficulty faced by active managers to stay at the top of their peer Read more […]