2023 Has Already Been Trepidatious
A sizzling start for Canadian equities in 2023 found itself fizzling as March began. Despite having a return of as much as 7% in late January/early February, through March 17, 2023, the S&P/TSX Composite Index was up 0.7% YTD. In line with historical trends, the S&P/TSX Composite Low Volatility Index underperformed, declining 0.1%. Volatility rose…
Expanding the Dividend Aristocrats Ecosystem with ESG Screening and FMC Weighting
Amid rising interest rates and the uncertain macroeconomic environment last year, dividend-focused strategies received substantial inflows throughout 2022. On top of these recent macroeconomic trends is also the longer-term, structural development of increasing investor demand for investments that align with their personal and societal values. Against this backdrop, S&P Dow Jones Indices (S&P DJI) recently…
- Categories ESG, Factors, Strategy
- Tags Dividend Aristocrats, dividend yield, dividends, ESG, factors, S&P ESG High Yield Dividend Aristocrats FMC Weighted Index, S&P International Developed Ex-North America & Korea ESG Dividend Aristocrats FMC Weighted Index, S&P/TSX Canadian ESG Dividend Aristocrats FMC Weighted Index, strategy
Collections of Factors
Traditional investors think of portfolios (whether active or indexed) as collections of stocks. We can equally well think of portfolios as collections of factors—defining factor in the academic sense, as an attribute with which excess returns are thought to be associated. If we’re correct in assessing these attributes, it should be possible to explain portfolio…
Momentum’s Mystique
I confess some superhero powers underwhelm me (really, Hawkeye, arrows?) or stretch credulity further than Hulk’s hyper-elastic jeans. However, one I can appreciate is Mystique, the shape-shifting mutant who constantly alters her appearance to stay one step ahead. If factors were superheroes, I’d argue the S&P 500® Momentum Index (“Momentum”) and Mystique share commonalities, both…
Equities Recover
In the first seven weeks of 2023, U.S. equities regained a third of the ground lost in 2022 (down 18.1% in 2022 and up 6.5% YTD through February 17, 2023). Exhibit 1 shows that since its last rebalance, the S&P 500® Low Volatility Index, which seeks to mute the gyrations of the market in both…
Exploring the Defensive Advantage
Take a closer look at the participation and protection characteristics of sector and defensive factor indices with S&P DJI’s Craig Lazzara and Anu Ganti.
- Categories Factors
- Tags Anu Ganti, Craig Lazzara, defense beyond bonds, defensive factor indices, Defensive indices, efficient frontiers, ETFs, factor indices, growth factor, low volatility high dividends, minimum volatility, participation and protection, quality factor, rising rates, S&P Dividend Aristocrats, Sector indices, US FA, volatile markets
- Categories
- Factors
- Tags
- Anu Ganti, Craig Lazzara, defense beyond bonds, defensive factor indices, Defensive indices, efficient frontiers, ETFs, factor indices, growth factor, low volatility high dividends, minimum volatility, participation and protection, quality factor, rising rates, S&P Dividend Aristocrats, Sector indices, US FA, volatile markets
A Selective Approach to Style: The S&P Pure Growth and Value Indices
S&P Dow Jones Indices (S&P DJI) offers style and pure style indices, which categorize companies based on their growth and value characteristics. We recently published the paper Comparing S&P Style & Pure Style Indices, where we highlighted differences in design, fundamentals and potential applications for both index series. Exhibit 1 summarizes the index construction of…
Examining the Dividend Risk Premium
How do you measure the dividend risk premium on the S&P 500 and why does it make sense to track with an index? S&P DJI’s Michael Mell takes a custom look at indexing dividend futures with Metaurus Advisors’ Rick Silva, and Compass Point Financial’s Andrew Jones.
What Performance Reversals Suggest
Investment results in 2022 were distinctly different from those of the recent past. The S&P 500®, which had doubled in the three years between 2019 and 2021, fell by more than 18% last year, and Exhibit 1 shows that there were regime shifts among factor indices as well. The dominance of Value over Growth in…
Surveying Style Indices
How can index construction inform style selection? S&P DJI’s Craig Lazzara takes a closer look at the S&P Style and S&P Pure Style Indices and how these different approaches to indexing Growth and Value are designed to help advisors align strategies with client objectives.
- Categories Equities, Factors
- Tags 2023, Craig Lazzara, equities, factors, Financial Advisors, growth investing, growth vs. value, indexing, pure growth, pure style, pure value, S&P 500 Growth, S&P 500 Pure Growth, S&P 500 Pure Value, S&P 500 Value, S&P Pure Style, S&P Pure Style Indices, S&P Style, Style, style bias, U.S. style, US FA, value investing
- Tags
- 2023, Craig Lazzara, equities, factors, Financial Advisors, growth investing, growth vs. value, indexing, pure growth, pure style, pure value, S&P 500 Growth, S&P 500 Pure Growth, S&P 500 Pure Value, S&P 500 Value, S&P Pure Style, S&P Pure Style Indices, S&P Style, Style, style bias, U.S. style, US FA, value investing
