Tag Archives: u.s. equities

Relative Performance Impacts From the Introduction of Communication Services

S&P Dow Jones Indices will reshuffle stocks in September to reflect the revised structure of the Global Industry Classification Standard (GICS®) in its indices. The move will see telecommunication services replaced by a new sector called communication services. Its constituents will transfer from telecommunication, information technology (IT), and consumer discretionary. Exhibit 1 shows affected S&P Read more […]

Juxtaposition and Paradox

Effective prior to the market open on Sept. 24, 2018, the Telecommunication Services sector will be replaced with a new Communication Services sector, which will combine telecom with parts of the Information Technology and Consumer Discretionary sectors. As a result, Telecom, the ugly duckling sector comprising three stodgy telephone companies, will now be joined by Read more […]

One Big Problem In July For One Small Cap Index

Much attention has been drawn to small caps by top tier media since the small cap premium is now the biggest in eight years and the fifth biggest in history. The outperformance of the small cap stocks versus the large caps is being driven by the current economic environment of growth, rising interest rates, inflation and Read more […]

Here’s How A Rising Dollar Impacts Stocks

The U.S. dollar hit a 4 month high last week from concern over potentially faster interest rate hikes to control inflation as oil exceeded $70 per barrel and the lowest unemployment since 2000 was reported.  If the U.S. dollar continues to strengthen, it may be useful to know how U.S. equities moved historically in times when the Read more […]

Energy Powers Small Cap And Value In April

In April, the S&P 500 (TR) gained 0.4%, ending its first consecutive monthly loss in almost two years, but the index is still down 0.4% year-to-date (ending April 30, 2018.)  Mid caps are also down for the year, -1.0%, after the S&P 400 (TR) lost 0.3% in April.  However, Small caps pushed into positive territory, up now 1.6% Read more […]

Decomposing Recent Volatility Events Part 1

After a strong January 2018, the U.S. equity market started February with a roller coaster ride. The CBOE Volatility Index® (VIX®), which has been relatively quiet over the past couple years, spiked up and crossed the 50 mark intraday on Feb. 5, 2018. On the same day, the S&P 500® VIX Short Term Futures Inverse 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 […]

Investing in a World of Unknown Future Outcomes: The Benefits of Equal Weighting

Consider this thought experiment: You “know” that 499 of the companies in the S&P 500® will return exactly 5% next year. One will return 100%. You have no way to determine which stock will be the big winner, or to know or infer anything about its characteristics. You can invest in either a cap-weighted S&P Read more […]

It’s a New Day

Yesterday, the first markets day of the New Year, the Dow Jones Industrial Average® continued its advance, finishing up 104.79 points for a 0.42% gain. How does that stack up against the post-holiday return to trading in prior years? Meh…it was nothing special. Not to look a gift horse in the mouth, mind you. A Read more […]

What Are Large-Cap Active Managers Up To? A Look at Their Active Factor Bets Relative to the S&P 500 (Part II)

In a recent study published in the Financial Analysts Journal, Ang, Madhavan, and Sobczyk (2017)[1] highlighted that using regression-based factor loadings to measure managers’ factor exposures, even when conducted on a rolling basis, can be misleading due to excessively smoothed coefficients, given that active managers adjust their exposures dynamically. The authors argued that holdings-based attribution Read more […]