Tim Edwards is Managing Director of Index Investment Strategy for S&P Dow Jones Indices (S&P DJI). The group provides research and commentary on S&P DJI’s entire product set, including U.S. and global equities, commodities, fixed income, and economic indices.
Prior to joining S&P DJI in 2013, Tim worked for Barclays Capital, initially within fund-linked derivatives and subsequently in exchange-traded products and index-linked derivatives. Prior to that, he worked at the Royal Institution of Great Britain.
Tim holds a Ph.D in pure mathematics from University College London.
When do sectors matter, and what can you do about it? Sometimes the sector composition of an equity portfolio strongly affects its returns. At other times, single stock effects or overall market effects dominate. Sector-based products such as ETFs and futures have been around for decades, but recently they have attracted growing interest. Exhibit 1 Read more […]
At last Friday’s close, S&P Dow Jones assigned a number of technology and consumer discretionary names into a new “Communication Services” sector classification. Relative to the old Telecommunication Services definitions, the sector has grown from 3 to 22 companies (not counting dual share listings) and is less concentrated in absolute terms. However, Communications Services remains Read more […]
U.S. equity funds following momentum (or relative strength) strategies have generally performed well recently, and their performance has been rewarded with inflows. This is important because momentum, uniquely among investment styles, is self-reinforcing – until it isn’t. Typically, as factors become more popular, their excess returns are likely to diminish. For example: the more value Read more […]
It has not been a great start to the week for the technology sector, with large-cap tech stocks dragging down equity indices across the globe. With the current media focus on the industry behemoths, suitably arranged into fun acronyms (“FANGs” and so on), investors in the U.S. tech sector might be concerned about the risks Read more […]
Investment strategies that switch between sectors or industries – and the related activity of using sectoral performances to discern broader macroeconomic trends – have long been an part of professional investing. However, it is surprisingly difficult to find even basic research explaining how sectors are classified, why they are important and how they might be Read more […]
Assigning equal weights to each constituent, such as in the S&P 500 Equal Weight Index, historically would have offered material outperformance over capitalization-weighted benchmarks across a range of markets. Earlier this year, we published a paper examining how this occurred. There are several perspectives one can take, ranging from factor or sector exposures all the Read more […]
In recent years, strategies selling volatility (and VIX® futures in particular) garnered substantial attention due to the low levels of VIX and the eye-watering returns achieved by associated benchmarks such as the S&P 500® VIX Short-Term Futures Inverse Daily Index (we’ll call it the “short VIX index” here for convenience). At the end of last Read more […]
News that the Dow broke through 25,000 yesterday was not universally celebrated. A market index achieved a specific numerical barrier — so what? The importance of such events is at best anecdotal, and their celebration in the media is increasingly regarded as humbug. Is there any truth – one might ask – to the theory Read more […]
In the last year, plain old beta performed remarkably well in comparison to the so-called “smart” alternatives tracking large-cap U.S. equities. Of the 17 different strategies reported in our year-end factor dashboard, less than a third outperformed the S&P 500’s total return of 21.83% over the last 12 months. When they are criticized as the Read more […]
Keen watchers of the ever-developing exchange-traded product space may have noticed an intriguing development last week, as the first purely “artificial intelligence”-based stock-picking ETF launched. Powered by IBM’s “Watson” platform, the fund sponsors claim to use a proprietary quantitative model to select stocks that will outperform, based on machine learning applied to vast data sets. One cannot help wondering Read more […]