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Anu Ganti

Senior Director, Index Investment Strategy, S&P Dow Jones Indices

Anu R. Ganti is Senior Director, Index Investment Strategy at S&P Dow Jones Indices (S&P DJI). The index investment strategy team provides research and commentary on the entire S&P DJI product set, including U.S. and global equities, commodities, fixed income, and economic indices.
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Jan 12, 2022

No Safe Harbor for Stockpickers

We can use volatility and its components dispersion and correlation to analyze stock selection conditions globally. Most active managers run less diversified, more volatile portfolios than their index counterparts. Active managers should prefer above-average dispersion because stock selection skill is worth more when dispersion is high. The role of correlation is more subtle. While counterintuitive,…

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Jan 4, 2022

Focusing on Factor Indices

Factor indices have two important uses. First, they can be used as benchmarks to help clients of specialist managers disentangle how much of the manager’s performance is attributable simply to factor exposure, and how much is attributable to the manager’s stock selection beyond the factor. Second, factor indices can be used as investment vehicles to…

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Sep 13, 2021

Headwinds on the Active Horizon

Active managers’ performance was disappointing in 2020, despite the market’s heightened volatility. As the market continues to march upward in 2021, it’s natural to wonder if current conditions are favorable for stock pickers.  We expect active managers’ difficulties to persist. We can think of volatility in terms of its components: dispersion and correlation. Active managers…

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Jul 27, 2021

Strength of Savings

In the 20 years ending in 2020, 94% of all large-cap U.S. managers lagged the S&P 500®. Mid- and small-cap results were almost equally disappointing. A notable consequence of these shortfalls in active performance has been the rise in passive investing, one of the most significant trends in modern financial history. Our recent Annual Survey…

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Jun 15, 2021

Valuing Equal Weight

We have previously discussed the impact of Equal Weight’s rebound on its exposure to the momentum factor. We now turn our attention to its exposure to the value factor, as the recovery in smaller caps and value stocks has been an important tailwind for the strategy. The S&P 500® Equal Weight is typically biased toward…

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May 20, 2021

Concentrating on Technology

After the dominant performance of large-cap technology stocks in 2020, concentration concerns naturally come to mind. The HHI, or Herfindahl-Hirschman Index, is a widely-used concentration measure; it’s defined as the sum of the squared index constituents’ percentage weights (usually taken as whole numbers). For example, the HHI for an equally-weighted 50 stock portfolio is 200…

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May 11, 2021

Mean Reversion and Momentum

After almost four years of underperformance, we witnessed a change in fortune in February 2021, as the relative performance of the S&P 500® Equal Weight Index turned positive. By the end of April, Equal Weight had outperformed the S&P 500 by 11% over the prior 12 months, as we see in Exhibit 1. Equal Weight’s…

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Mar 30, 2021

Opportunity Does Not Equal Attainment

We’ve previously argued that most managers should prefer above-average correlation, because the incremental volatility a manager accepts to pursue an active strategy will be lower when correlations are high. In addition, active managers should prefer above-average dispersion, because stock selection skill is worth more when dispersion is high. Both correlation and dispersion rose in 2020….

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Mar 8, 2021

A Change in Fortune

Three months ago, we observed that times of severe underperformance for Equal Weight can bode well for future performance. This reflection had become reality by the end of February. After almost four years of underperformance, the S&P 500® Equal Weight Index outperformed the S&P 500 by 1.6% over the past 12 months, as we see…

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Jan 26, 2021

A Different Kind of Bubble

Information Technology was the top-performing sector in 2020, up 44%, while Momentum (up 28%) was the second best-performing factor. These two results are reminiscent of the bubble we experienced two decades ago. But the Tech sector of today is not your father’s Tech sector. Similarly, we can analyze the market from a factor perspective and…

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