Category Archives: Equities

Do Active Funds in India Benefit from Higher Active Risk Exposure?

Fund managers typically follow a factor or a style of investing and aim to construct portfolios by balancing active sector exposures and stock-selection risks within a sector. Tracking error is one way to measure a fund’s deviation from its respective benchmark to determine how “active” it is. As measured in the SPIVA® India Year-End 2018 Read more […]

Implied Plunge Protection

Ever since its formation in response to the “Black Monday” crash of October 1987, the United States “Working Group on Financial Markets” has been accompanied by (persistently-denied) rumours that the group used government funding to make large equity purchases whenever the market fell – giving rise to its informal moniker of the “Plunge Protection Team”.  Read more […]

S&P and Dow Jones Islamic Market Indices Largely Outperformed Conventional Indices in Q2 2019

Developed Market Indices Continued to Outperform Conventional Indices, Emerging Markets Lagged Global S&P and Dow Jones Shariah-compliant benchmarks outperformed their conventional counterparts YTD in 2019, as Information Technology—which tends to be overweight in Islamic indices—has been a sector leader, while Financials—which is underrepresented in Islamic indices—continued to underperform the broader market. The S&P Global BMI Read more […]

S&P China 500 Declined 2.8% in Q2 2019; Gains Stood at 20.2% YTD

The S&P China 500 declined 2.8% in Q2 2019, as the U.S.-China trade tensions and threat of company sanctions weighed on returns, even as expectations for eased tensions improved. The decline followed the 23.6% Q1 2019 surge in the index, ultimately leading to overall healthy gains of 20.2% YTD. Chinese stocks generally lagged global benchmarks Read more […]

The Opportunity Cost of Active Management

Investors typically flock to active funds to pass on the stock-picking decision making to a seasoned fund manager, with the hope that the fund manager’s experience and stock-picking capabilities will enable the investor’s portfolio to grow at a faster pace than that set by the benchmark. By using this approach, investors are able to circumvent Read more […]

The Importance of Being Large-Cap

The performance of U.S. equity factors during Q2 was lackluster, with most underperforming the S&P 500, as seen in Exhibit 1.  While Minimum Volatility and Low Volatility were notable exceptions, Value, Quality, High Beta, and Momentum all lagged the benchmark – in large part because of their tilt toward smaller companies.  Since most factor indices Read more […]

Managing Geographical Revenue Exposure in the Australian Equities Market

The S&P/ASX 200, widely considered a performance barometer for the Australian equities market, comprises 200 of the most liquid and highest market capitalization stocks listed on the Australian Securities Exchange (ASX). Nevertheless, the performance of this index is not solely influenced by Australian economic activities, but also by global economic conditions, depending on the individual Read more […]

Dividend Payers Outperform Non-Dividend Payers in Colombia

In a previous blog,[1] we explored historical dividend payers in the Colombian equity market, focusing on the S&P Colombia BMI as the underlying universe, highlighting the number of dividend payers, market capitalization, and GICS® sector distribution. Building on that, we now examine if the Colombian market has rewarded dividend payers over non-payers. As a starting Read more […]

The Case for Dividend Futures Contracts

The S&P 500® Dividend Points Index tracks dividend payments of S&P 500 constituents, based on a fixed initial market capitalization, independent of equity price changes. The index cannot be invested in directly, but it is tracked by futures contracts listed on the Chicago Mercantile Exchange (CME). Currently, the annual dividend futures are available up to Read more […]

Uncertainty’s Curse on Confidence

With the dust still settling after the unexpected result of Australia’s recent federal election on May 18, 2019, which resulted in a third 3-year term for the incumbent Liberal-National Party coalition, the Australian government has quickly turned its attention to a slowing in the Australian economy. While the uncertainty over franking credit refunds and negative Read more […]