Rotating Between Growth and Value: The S&P 500® Growth Value Rotator Index

Growth and value are two investment styles based on fundamental analysis. A growth company typically has promising earnings potential and tends to invest more in future growth rather than dividend payouts, while a value company tends to be more established, with stable growth rates and dividend distributions. While most market participants are familiar with single-style Read more […]

The Calm That Was

Through the end of July, equities had netted a nice gain for 2019 (though the picture looks a lot different so far in August). Unusually, the S&P 500 Low Volatility Index® outperformed in an environment when it has typically lagged its benchmark. (The S&P 500 gained 20.2%, while the low volatility index was up 20.8%, Read more […]

Size Matters for Active Large-Cap Fund Performance

Over the 15-year period ending March 31, 2019, the biggest 25% of active large-cap equity funds managed about 90% of all the assets under management (AUM) held in active large-cap equity funds. This may suggest that investors’ fund selections skew toward larger funds. But is bigger always better? This topic has been widely debated: although Read more […]

Potential Applications of the Low Volatility High Dividend Concept in Brazil

Historically, the percentage of dividend payers in Brazil has ranged between 71% and 87%,[1] making it a propitious environment for implementing dividend-focused strategies. The highest-yielding stocks in high-yield strategies often come with greater portfolio volatility,[2] and Brazil is no exception. This blog explores the rationale behind the implementation of a low volatility high dividend strategy Read more […]

Beyond Equal Weighting: Reverse Cap Weighting the S&P 500

Consistently outperforming the S&P 500® is difficult. The S&P Dow Jones Indices SPIVA report shows that less than 18% of funds outperformed the S&P 500 (SPX) over the five-year period ending 12/31/2018. So how is it that the S&P 500 Equal Weight Index (SPEWI), a passive index comprised of the very same 500 stocks, accomplished Read more […]

Defensiveness of the Credit Strength Strategy in U.S. Corporate Bonds

Our fundamental credit strength strategy uses credit ratios to screen out issuers with risky credit profiles and construct corporate bond portfolios with strong credit quality (for a detailed methodology, please see our previous blog). Our research shows that a credit strength strategy can potentially reduce return volatility and improve drawdowns. Our goal in this blog Read more […]

The Case for Positive Earnings Criteria in International Small-Cap Benchmarks

We recently published a research paper, “Building Better International Small-Cap Benchmarks,” offering a comprehensive look at the recently launched S&P Global SmallCap Select Index Series. These indices are designed to measure the performance of small-cap companies with positive earnings. Why incorporate positive earnings criteria into small-cap benchmarks? The initial foundation stems from two prior studies[1],[2]; Read more […]

July 2019 Commodities Performance Highlights – A Nickel for Your Thoughts

Commodities markets hit the summer doldrums in July. The S&P GSCI was down 0.2% for the month and 13.1% YTD. The Dow Jones Commodity Index (DJCI) was down 0.8% in July and up 6.1% YTD, reflecting its lower energy weighting. Impressive rallies in nickel and silver markets were pitched against a slump in agriculture prices, Read more […]

Channeling Maverick and the Maestro: The Fed Cut Rates because “We Were Inverted”

One of the classic scenes from the original Top Gun movie recounts the exchange Maverick (Tom Cruise) had with a MiG-28. Maverick corrects Charlie’s (Kelly McGillis) intelligence report on the Russian fighter jet with his eyewitness account. When she asks how he saw a MiG-28 perform a 4G dive from above, he responds: “Because I Read more […]

Cboe S&P 500 Buffer Protect Indexes: First Outcome Period Recap

On June 28, 2019 the July Series of the Cboe S&P 500 Buffer Protect Indexes completed their first one-year outcome period (6/28/18 – 6/28/19). The Cboe S&P 500 Buffer Protect Indexes are designed to afford investors defined exposures to the S&P 500 Price Index, where the downside buffer levels, upside growth potential, and outcome period Read more […]