Dividends and Buybacks: S&P 500® Buyback Index Outperforms

In general, it is a positive sign when a company buy back shares. This means the company believes its stock is undervalued and is confident about its future earnings. In recent years, buybacks have become increasingly popular. With a record number of companies buying back shares, how are these companies are faring? A company can Read more […]

Replacing LIBOR

LIBOR – the London Interbank Offered Rate — is the benchmark for over $300 trillion of loans, derivatives and other financial instruments.  LIBOR started in the syndicated loan market of the 1960s; today it is quoted in different currencies and maturities. Following scandals in 2012-2013, LIBOR is being replaced and will disappear in 2021. For Read more […]

Changes to the S&P BSE SENSEX

The methodology of the S&P BSE SENSEX has seen many changes over the last 30 years. In October 2018, it was again modified after an extensive market consultation. The recent changes brought new clarity to the boundaries for entry and exit of stocks in the index. Constituents are selected by size and liquidity. Now, any Read more […]

Market Conditions Favored Government Bond Funds in Second Half of 2018

The SPIVA® U.S. Year-End 2018 Scorecard shows a reversal of the relative short-term performance of fixed income funds at the end of 2018 from six months prior. Combined with the interest rates move, this might shed some light on understanding the duration positioning of active funds. We focus on government bond funds for our analysis, Read more […]

S&P and Dow Jones Islamic Indices Outperform Conventional Benchmarks in Q1 2019

Information Technology and Financial Sectors Biggest Contributors Global S&P and Dow Jones Shariah-compliant benchmarks outperformed their conventional counterparts in Q1 2019 as Information Technology—which tends to be overweight in Islamic indices—finished the quarter at the top of the sector leaderboard while Financials—which is underrepresented in Islamic indices—underperformed the broader market. The S&P Global BMI Shariah Read more […]

Using GARP Strategies for Indices Part IV – Factor Exposures, Sector Composition, and Performance Attribution

In this blog, the fourth in our introduction to Growth at a Reasonable Price (GARP) strategies, we cover factor exposures, sector composition, and performance attribution. Targeted Factor Exposures Exhibit 1 shows the active exposures (in percentages) of the S&P 500® GARP Index to the five factors used in GARP strategies: three-year sales per share (SPS) Read more […]

This Little Piggy Isn’t Going to Market

Even eagle-eyed commodities investors might be surprised to learn that lean hogs have been one of the best-performing individual commodities so far in 2019. As of April 5, 2019, the S&P GSCI Lean Hogs was up an impressive 19.5% since the beginning of the year, outperforming the broad S&P GSCI (up 18.4%), and up 46% Read more […]

Do Indian Equity Mutual Funds Generate Alpha When Adjusted for Risk?

Risk-adjusted returns showcase the return accrued for every unit of risk held in a portfolio. If two portfolios have the same returns over a given time period, the one that has the lowest risk will have the better risk-adjusted return. Modern portfolio theory (MPT) assumes that an investment with higher risk should compensate the investor, Read more […]

Synchronized Gains Push the S&P Risk Parity Indices to New Highs

The first quarter of 2019 was one of synchronized gains across stocks, bonds, and commodities. Stocks soared, with the S&P 500® up 13.6%, recording its largest first quarter gain since 1998. Amid a dovish tone from the Fed, U.S. Treasury yields declined, with the yield on the 10-year U.S. Treasury Bond falling to its lowest Read more […]

Using GARP Strategies for Indices Part III – Risk and Return

In this blog, the third in our introduction to Growth at a Reasonable Price (GARP) strategies, we look at risk and return. The main objective of the S&P 500® GARP Index is to capture the performance of growth stocks with relatively high quality and value composite scores over a long-term investment horizon. Historically, the GARP Read more […]