Liyu Zeng
Director, Global Research & Design, S&P Dow Jones Indices
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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.
Liyu Zeng joined S&P DJI in 2008. Before that, she worked for 2.5 years as a Senior Analyst in the Research Department of CITIC Securities and 2.5 years as an Index Operation VP at S&P/CITIC Index Information Services.
She holds an MBA from the Zicklin School of Business, Baruch and is a CFA charterholder.
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…
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…
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,…
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…
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…
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…
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…
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…
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…
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…