Tag Archives: S&P 500

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 […]

Visualizing Factor Exposures

Measuring the away-from-benchmark exposures of active portfolios (or “smart beta” indices) is not inherently complicated.  To what degree, for example, is a portfolio cheaper than its benchmark, or more tilted toward high quality stocks?  Practitioners typically approach the question in one of several ways: Calculating weighted average differences – e.g., the yield on my portfolio is Read more […]

The Little Engine That Could

Since the U.S. presidential election, headlines touting small-cap performance have almost invariably cited the Russell 2000.  As impressive as that index’s return has been, S&P DJI has a little engine that persistently wins the small-cap race—the S&P SmallCap 600®.  Outperformance of the S&P SmallCap 600 versus the Russell 2000 primarily has to do with two Read more […]

Back to Normal…Almost

It’s been a roller coaster week in the aftermath of the startling conclusion to the U.S. Presidential election on November 8, 2016.   As recently as a week before the election, equity markets were quite calm, although volatility levels recognized the possibility of a surprise Trump victory.  When that victory occurred, U.S. futures declined significantly before Read more […]

Why Consistency of Dividend Growth Matters

With anemic global economic growth, investors have become leery about U.S. companies’ ability to grow earnings and increase dividends. Indeed, S&P 500 earnings declined for the fifth consecutive period in the second quarter of 2016 and even if the third quarter results are positive, the growth rate is likely to be very small. A potential Read more […]