Wenli Bill Hao
Senior Lead, Strategy Indices, S&P Dow Jones Indices
S&P 500 GARP Index: Growth at a Reasonable Price Anyone?
While growth stocks have the potential to grow at a rate significantly above the market, they have faltered during 2022 on the back of high inflation and rising interest rates. For market participants toying with the idea of when and how to get back in, the S&P 500® GARP (Growth at a Reasonable Price) Index…
S&P QVM Top 90% Indices: An Examination of the June 2022 Rebalance
This blog is the second in the quarterly blog series we recently introduced to provide transparency into rebalance adds and drops for our S&P Quality, Value & Momentum Top 90% Multi-factor Indices (S&P QVM Top 90% Indices). The S&P QVM Top 90% Indices seek to track constituents in the top 90% of their universe, ranked…
- Categories Factors, Strategy
- Tags factors, institutional investor, momentum, Multi-Factor, multi-factor indices, multi-factor strategy, quality, QVM, S&P 500 QVM Top 90% Index, S&P MidCap 400 QVM Top 90% Index, S&P Quality Value & Momentum Top 90% Multi-factor Indices, S&P QVM Top 90%, S&P SmallCap 600 QVM Top 90% Index, value
Credit Risk Premium in the Equity Market
Firms with low credit risk generally have higher stock market returns than firms with high credit risk.1 The S&P 500® Higher Credit-Rating Ex Insurance Equity (HCREIE) Index is designed to capture the credit risk premium in the equity market. In this blog, we will introduce the index design, performance, and factor exposure. Index Design The…
- Categories Equities, Strategy
- Tags credit rating, credit risk, insurance, S&P 500 HCREIE Index
The Case for The S&P 500 GARP Index
The S&P 500® GARP (Growth at a Reasonable Price) Index just had its second anniversary since its launch in February 2019. During the latter half of this time, the world experienced the worst global pandemic in a century. Equities entered a swift V-shaped bear market and rebound. In this blog, we review the index’s performance,…
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…
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….
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:…
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…
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…
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…