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liyu_zeng

Liyu Zeng

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

Liyu Zeng is Director, Global Research & Design at S&P Dow Jones Indices (S&P DJI). In this role, Liyu’s main responsibility is in index design and research, covering global and regional, value and growth, thematic, dividend, GDP-weighted, equal-weighted, ADR, risk control, target risk, fundamental, leveraged and inverse, and fixed income indices, as well as corporate groups.
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Feb 2, 2021

How Carbon Weight Adjustment May Reduce Carbon Intensity among Asian Equities

In a previous blog, we reviewed the carbon efficiencies of Asian companies in comparison with their global industry group peers. In this blog, we examine the potential carbon intensity1 reduction on various Asian markets by incorporating a carbon weight adjustment to their respective S&P Global BMI index universes, following the S&P Global Carbon Efficient Index…

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Jan 7, 2021

Are Asian Companies More or Less Carbon Efficient Than Their Global Peers?

With the launch of the S&P Global Carbon Efficient Index Series in 2018, S&P DJI introduced the S&P Carbon Global Standard, a proprietary carbon classification system that assigns carbon deciles to companies within their respective industry groups. The framework uses carbon-to-revenue footprint (carbon intensity) for companies in the S&P Global LargeMidCap to determine carbon decile…

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Aug 6, 2020

What’s inside the S&P DJI Australian Factor Indices?

In our paper, How Smart Beta Strategies Work in the Australian Market, our studies indicated that most factor indices in Australia exhibited distinct return characteristics during up and down markets. Indeed, different factor indices also displayed unique style and industry factor exposures, resulting in factor index performance differentials over the long term. In this blog,…

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Jul 27, 2020

How Factors Behaved Differently in the Australian Market in the First Half of 2020

In our paper “How Smart Beta Strategies Work in the Australian Market,” we examined the long-term performance characteristics of S&P DJI’s Australian factor indices in different market trends. In the first half of 2020, the Australian equities market had a roller coaster response to the coronavirus outbreak, global market crash, and government stimulus packages. While…

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Apr 23, 2020

How Factors in the China A Share Market Behaved Differently during the Coronavirus Outbreak

In the first quarter of this year, the China A shares market was on a roller coaster in response to the domestic coronavirus outbreak followed by the spread of coronavirus in other parts of the world. In our previous blog, “How the Chinese Equity Market Responded to the Domestic and Global Coronavirus Outbreak,” we looked…

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Sep 4, 2019

What’s Inside the S&P China A-Share Factor Indices? Sector Allocation versus Stock-Selection Effect

After examining the risk factor exposure of the S&P China A-Share Factor Indices in our previous blog, we further explore the sector bias and associated impact on index performance. Apart from the S&P China A-Share Enhanced Value Index, all the S&P China A-Share Factor Indices tended to underweight the Financials sector,[1] though other unique sector…

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Jul 25, 2019

What’s inside the S&P China A-Share Factor Indices? The Impact of Style Risk Factors

In our previous blog, our studies indicated that most factor indices in China exhibited distinct return characteristics during up and down markets. To understand the sources that drive differential factor performance, we examined the risk factor exposures and factor impact on the performance of S&P China A-Share Factor Indices[1] based on the Axioma AXCN4-MH China…

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Jun 6, 2019

How Does Factor-Based Investing Work in the China A Market?

Factor-based investing has gained popularity in the global investment community. While the long-term risk premia of factors have been evidenced in developed equity markets, some believe the inefficiencies in emerging markets could create better opportunities for factor-based investing. In our recently published paper, “How Smart Beta Strategies Work in the Chinese Market,” we examined the…

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Nov 10, 2017

Does Value Enhance Quality Investing in China’s A-Share Market?

As discussed in my previous blog, quality investing has gained attraction in China, as high-quality stocks recorded remarkable performance in the first nine months of 2017.  As a result, the risk of paying too much for high-quality stocks has become a concern.  To address the issue, on Sept. 29, 2017 we launched the S&P China…

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Nov 3, 2017

Are Quality Stocks Expensive in China?

Quality investing has been one of the most widely accepted investment philosophies.  The attractiveness of quality stocks stems from their defensive nature under distressed market conditions.  In China’s A-Share market, quality stocks have gained renewed attraction in 2017.  In the first nine months of 2017, the quality portfolio outperformed the other factor portfolios in absolute…

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