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Bill Hao

Director, Global Research & Design, S&P Dow Jones Indices

Bill Hao is Director, Global Research & Design at S&P Dow Jones Indices (S&P DJI). In this role, he is responsible for the conceptualization, research, and design of global strategies. He specializes in factor, alternative beta, and thematic equity indices.
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Sep 23, 2020

Profitability, Liquidity, and Investability: The Key Drivers of Long-Term Outperformance of S&P SmallCap 600® versus Russell 2000

The S&P 600TM has outperformed the Russell 2000 since its launch in 1994. From Dec. 31, 1994, to Aug. 30, 2020, the S&P SmallCap 600 had an annualized return of 11.77% (with an annualized volatility of 18.96%) versus the Russell 2000’s annualized return of 10.49% (with an annualized volatility of 19.70%). The historical performance divergence…

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Sep 15, 2020

The S&P Global REIT QVM Multi-Factor Index Part II – Performance, Country Composition, and Factor Exposure

In the previous blog, we introduced the construction process of the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. In this blog, we look into the empirical results of the strategy. Performance Rebasing the two indices to 100 on June 30, 1999, the S&P Global REIT QVM Multi-Factor Index reached 999.42 on Aug….

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Sep 14, 2020

The S&P Global REIT QVM Multi-Factor Index Part I – Strategy Construction Process

In this blog (and in a subsequent post), we will introduce the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. This index integrates individual quality, value, and momentum factor scores into one composite and is designed to capture multi-factor equity premia. In essence, the strategy seeks to include companies with the following characteristics:…

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Jul 8, 2020

The S&P Quality Developed Ex-U.S. LargeMidCap Index: Attributes and Characteristics

The COVID-19 pandemic continues to create uncertainty in the global economy. The uncertain economic recovery and increased global corporate defaults have caused equity investors to turn to high-quality companies. The S&P Quality Developed Ex-U.S. LargeMidCap was designed to meet such needs. In this analysis, we investigate the performance, attributions, and characteristics of the index. The…

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Jun 3, 2020

S&P Pure Growth Indices – Attributes and Performance Drivers

The S&P 500® has had a wild ride in 2020. The index hit an all-time high in February, then dropped 33.8% to the bottom in March due to the COVID-19 pandemic, and then rallied 32.6% by May 22. During this turbulent time, the S&P 500 Pure Growth, while declining along with markets, ultimately outperformed its…

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Apr 22, 2020

The S&P 500 Quality Index: Attributes and Performance Drivers

COVID-19 driven volatility has caused market participants to refocus on defensive strategies. As investors turned to quality, the S&P 500® Quality Index demonstrated better downside protection and outperformed. Furthermore, it offered a sizable dividend yield of 2.2%. This analysis investigates attributes of the index. Breaking Down Components From all-time highs on Feb. 19, 2020, to…

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Sep 23, 2019

S&P High Yield Dividend Aristocrats Part III: Sector Composition, Performance Attribution, and Factor Exposure

In this blog, the third in our introduction to the S&P High Yield Dividend Aristocrats®, we will cover sector composition, performance attribution, and factor exposure. Sector Composition As shown in Exhibit 1, the S&P High Yield Dividend Aristocrats has diversified sector exposures, with some sector bets, given different dividend-paying practices among sectors. Historically, the S&P…

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Sep 16, 2019

S&P High Yield Dividend Aristocrats Part II: Risk/Return

From Dec. 31, 1999, to June 30, 2019, the S&P High Yield Dividend Aristocrats® generated a total return of 590.3%. Of the contribution, about 57% was from dividend income, while 43% came from price appreciation. In this blog, we will look at the risk/return characteristics in detail. Favorable Risk-Adjusted Returns The S&P High Yield Dividend…

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Sep 9, 2019

S&P High Yield Dividend Aristocrats Part I: Strategy Characteristics

With the 10-Year Treasury yield around just 1.5% and the potential for more interest rate cuts on the horizon, yield-seeking investors may become more interested in equity dividend yield strategies. Dividend strategies can satisfy investors’ needs in several regards, namely higher dividend income, favorable risk-adjusted returns, lower volatility, and more downside protection in bearish market…

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Apr 11, 2019

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)…

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