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Craig Lazzara

Managing Director and Global Head of Index Investment Strategy, S&P Dow Jones Indices

Craig Lazzara is Managing Director and Global Head of Index Investment Strategy for S&P Dow Jones Indices (S&P DJI). The index investment strategy team provides research and commentary across the S&P DJI product set, with particular focus on the active-passive debate, factor indices, and index dynamics. Craig previously served as product manager for S&P DJI’s U.S. equity and real estate indices. These include the S&P 500® and the S&P CoreLogic Case-Shiller Home Price Indices, two of the most widely tracked benchmarks in the world.
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Nov 10, 2020

Why Cap Weighting?

Journalists and others occasionally offer comparisons of capitalization-weighted index funds with other weighting schemes. Some of these efforts are more useful than others, but none, in my experience, identify the question that cap-weighted indices were initially designed to answer, and which accounts for their enduring economic significance. That question is, simply put: What is the…


Oct 7, 2020

Not a Coincidence

We recently issued our mid-year SPIVA® reports for the U.S., Australia, and Europe, and other regions will follow in due course. Although one can sometimes find exceptions in the short run, the long-term results of SPIVA can be easily summarized: The majority of active managers underperform most of the time. Historical success does not predict…


Sep 21, 2020

Sectors and Electors

Markets expect elevated volatility surrounding the U.S. Presidential election, now just six weeks away. The VIX futures curve currently peaks in November, but as long ago as April a close observer could detect expectations of electoral volatility. Increased volatility may create an unusual opportunity for sector allocators. To understand why, we need to remember that…


Sep 15, 2020

Courage vs. Comfort

Philosophers have long argued that courage is the most essential human virtue, because without courage, all other virtues lie in jeopardy. Remarkably, the theorizing of ethicists has an implication for practical portfolio management. We can illustrate this with a simple example in Exhibit 1. It’s Dec. 31, 1999, and a professional investor is considering buying…


Jul 20, 2020

Performance Trickery, part 4

As a potential investor, would you be impressed by the pattern of fund returns summarized in Exhibit 1?  (I would be.) Exhibit 1. Portfolio and Benchmark Cumulative Returns Over the course of 15 years, the portfolio in question notched a total return of 69%, versus only 50% for its benchmark.  The accumulation of added value…


May 12, 2020

Factors and Factor Indices

There is a subtle but important distinction between factors and factor indices.  “Factor” denotes an attribute with which long-term excess returns are thought to be associated.  Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense.  A number of other variables – prominently including momentum, low volatility,…


Apr 28, 2020

Two Sides of Volatility

I was recently asked whether volatility was particularly challenging for index fund owners or for active investors.  The answer is “yes.” For index funds, the challenge arises because rising volatility typically accompanies poor returns.  Between 1991 and 2019, e.g., months in which the S&P 500’s volatility was above median averaged modestly negative total returns.  In…


Apr 24, 2020

The Defensive Advantage

A wise man told me years ago that there are some things you can’t get if you go after them directly.  If you’ve ever watched someone trying to sound interesting, you’ll realize the truth of my friend’s observation.  There are plenty of interesting people out there, of course, but they achieve that status by pursuing…


Apr 16, 2020

Performance Trickery, part 3

Success is hard to come by for active managers, as readers of our SPIVA reports know well.  Sometimes what appears to be stock selection skill is in fact simply a byproduct of style drift across the capitalization scale. A majority of large-cap active managers outperformed the S&P 500 only 3 times in 19 years of…


Mar 25, 2020

Coronaviral Correlations

Mea culpa: Roughly a month ago I used a dispersion-correlation map to describe how index dynamics can illuminate market movements.  In particular, I reported that since high dispersion seems to be a necessary condition for a bear market, and S&P 500 dispersion levels at the end of February were far below those prevailing in past…


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