Tag Archives: S&P 500

Rising Rates Arrive

Which of the figures below belong together?   It’s obvious, even if analogies aren’t your strong suit, that A is like C and B is like D.  A and C are not like B and D. The economic relevance of this simple visual exercise is this: At its March 2017 meeting, the Federal Open Market Read more […]

No News, and No Implications

This morning’s Wall Street Journal reported, rather breathlessly, that “U.S. bond yields are topping a key measure of the dividends that large U.S. companies pay—a shift that has broad implications for investors….”  The headline was triggered by the observation that the 2.50% “yield on the 10-year U.S. Treasury note…exceeded the 1.91% dividend yield on the Read more […]

Manager Outperformance: Is it Luck or Skill?

Over the years, we frequently hear from our SPIVA® and Persistence Scorecard readers that they have found their star manager or their own Warren Buffet—someone who can successfully beat the benchmark repeatedly.  Based on our 15 years of publishing the SPIVA U.S. Scorecard, we know that, on average, around 20% to 30% of domestic equity Read more […]

Valuations Are High but Dispersion Is Low

“Stocks Have Froth but No Bubble,” in today’s Wall Street Journal argues that while stocks are sitting at the highest valuations seen in many years, the market is not in a bubble.  Despite similarities to early 2000 by some measures, other distinguishing features of trading bubbles (such as high trading volume and high leverage) are 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 […]

Approaches to Achieving Low Volatility

Low volatility has been one of the most in vogue strategies during the past decade, with market participants still cognizant of the drawdowns that occurred during the financial crisis.  At S&P DJI, two of the most common strategies are applied to the S&P 500® universe to capture the low volatility anomaly—which is the observation that Read more […]

Index Basics: Calculating an Index’s Total Return

Total return indices deserve more attention.  They more closely represent what an investor actually takes home: the return of an index, plus dividends paid and reinvested in the index.  Their better-known counterparts, which only track price changes in securities—often called “price return indices”1—get all the fanfare (see “Dow Hits 20,000 for the First Time”).  Total Read more […]

Try a TIPS Mixer in Your Equities Cocktail

As product manager of the S&P STRIDE Indices, I sometimes find myself extolling the virtues of Treasury Inflation-Protected Securities (TIPS), which I believe are an underappreciated asset class.  When inflation is relatively tame, people often ask why they should think about TIPS.  The answer is that TIPS don’t hedge expected inflation—that’s already priced in.  TIPS Read more […]

Minimizing the Pain of Regret

There are many extraordinarily talented minds engineering optimal portfolios, objectives of which include maximizing return per unit of risk, among others.  The capital asset pricing model (CAPM) posited the market portfolio as optimal in the mean/variance sense, but over the years, this notion has been questioned.  CAPM, like the efficient markets hypothesis (EMH), will likely Read more […]

Positive Commodity Years Typically Don’t Show Up Alone

Commodities ended 2016 by posting the first positive returns in 4 years. The S&P GSCI Total Return gained 11.4% and the DJCI (Dow Jones Commodity Index) gained 13.3%.  Energy was the best performing sector gaining 18.1% in the S&P GSCI, and livestock performed worst, losing 7.3%. Agriculture, industrial metals and precious metals returned -4.2%, 17.6%, Read more […]