Iron Ore Is on a Hot Roll

The S&P GSCI Iron Ore has been on a tear this year, up 72.47% YTD as of June 13, 2019, breaking through the previous high from May 22, 2019. It had by far the best YTD performance out of any of the commodities indices in the S&P GSCI Series. This bullish performance during the first Read more […]

Why Facebook Was Dropped from the S&P 500® ESG Index

When the S&P 500 ESG (Environmental, Social, and Governance) Index underwent its annual rebalance after markets closed on April 30, 2019, several notable companies were removed, including Wells Fargo, Oracle, and IBM. However, the largest component to be dropped was Facebook. A day before its exclusion, Facebook held a weight of 2.5% in the S&P Read more […]

Four Decades of the Low Volatility Factor

Many financial theories are based on the idea that riskier investments should offer higher returns.  However, there is a bank of evidence – accumulated since the 1970s – showing that less volatile stocks posted higher risk-adjusted returns across a number of time horizons, regions, and market segments, historically. S&P Dow Jones Indices produces a range Read more […]

How Does Factor-Based Investing Work in the China A Market?

Factor-based investing has gained popularity in the global investment community. While the long-term risk premia of factors have been evidenced in developed equity markets, some believe the inefficiencies in emerging markets could create better opportunities for factor-based investing. In our recently published paper, “How Smart Beta Strategies Work in the Chinese Market,” we examined the Read more […]

JPX/S&P CAPEX & Human Capital Index: Linking CAPEX and Human Capital to Investment Opportunity

Human capital, physical capital, and technology have been widely recognized as a fundamental source of economic growth.[1] Dating back to the 1960s and early 1970s, when we saw a rapid increase in educated workers, facilities, and technological catch-up, Japan’s “economic miracle” emerged along with impressive GDP and per capita output growth.[2] Nowadays, these factors are Read more […]

Gearing up for auto tariffs? Revenue exposure might be useful

May was categorized by the return of macro fears.  Many equities indices and fixed income indicators flashed red – and the S&P 500’s four month win streak ended – as investors grappled with trade tensions and the potential impact on global growth.  Adding to investors’ uncertainty, President Trump’s surprise month-end announcement of tariffs on Mexican Read more […]

Are Active Funds Better at Managing Risks? Not Really.

In investing, risk and return are two sides of the same coin; the expected returns of an asset must be accompanied by variation or uncertainty around the outcome of those returns. All else equal, higher-risk assets should be compensated, on average, by higher returns. The same philosophy applies to performance evaluation. The performance of both Read more […]

ESG Factors Are Built on Peter Drucker’s Philosophy

Do you ever wonder where environmental, social, and governance (ESG) factors—now used in more than 25%[1] of all assets under management—come from? The short answer is: Mainly from the good-practices checklists maintained by a handful of big ratings agencies. But where did those agencies get their checklists? Mainly from the fruits of a handful of Read more […]

Not Melting Yet

Despite the hovering cloud of geopolitical menace as we entered 2019, the U.S. equity market enjoyed an almost seamless rise through the first four months of the year. May’s retreat reacquainted investors with volatility and served as a reminder that the market is near all-time highs, having enjoyed a more or less sustained increase for Read more […]

Ford Layoffs and the S&P 500 LinkUp Jobs Consumer Discretionary Index

Last month, in collaboration with S&P Dow Jones Indices (S&P DJI), LinkUp launched the S&P 500® LinkUp Jobs Index and related sector indices. The Index measures labor demand for companies within the S&P 500 at an aggregate, sector, and individual company level and serves as an indicator of the health of the labor market and Read more […]