Balancing High Yield and Growing Dividends in a Sector-Neutral Framework with the S&P Sector-Neutral High Yield Dividend Aristocrats
In September 2022, S&P DJI was pleased to add the S&P Sector-Neutral High Yield Dividend Aristocrats® to the S&P Dividend Aristocrats Index Series. While most dividend indices have notable sector under- and overweights versus their underlying benchmark, this index is the first in the series to be sector neutral. As such, this index emphasizes dividend…
S&P 500 Low Volatility Index August 2023 Rebalance
The S&P 500® performed well from the last rebalance for the S&P 500 Low Volatility Index on May 19, 2023, through the most recent rebalance on Aug. 18, 2023. As Exhibit 1 shows, the S&P 500 was up 4.7% during this period versus a decline of 1.5% for the S&P 500 Low Volatility Index. This…
- Categories Factors
- Tags 2023, factors, Low Vol, low volatility, S&P 500 Low Volatility Index, sectors, smart beta, US FA
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- Factors
Why Multi-Factor Indices in South Africa?
Burton Malkiel, author of the book A Random Walk Down Wall Street, asserted, “The facts suggest that successful market timing is extraordinarily difficult to achieve.”1 Multi-factor indices may be a way of ensuring you are “in the right place at the right time,” participating throughout market cycles without compromising timing or returns. The S&P DJI…
Balancing Defense with Growth: The S&P Quality Indices
Thus far this year, about two-thirds of the S&P 500®’s rally has been driven by growth stocks and the so-called “Magnificent Seven” tech stocks. While the quality factor is traditionally viewed as defensive, it has kept pace with the market while many other factor strategies have underperformed (see Exhibit 1). Part of the reason for…
Mean Reversion
Over more than 20 years of live history, the S&P 500® Equal Weight Index has outperformed the S&P 500 by a substantial margin. Between Dec. 31, 1990, and June 30, 2023, Equal Weight’s compound annual growth rate was 11.82%, well ahead of the cap-weighted S&P 500 at 10.55%. This performance edge is a product of…
Comparing Defensive Factors in the Recent Market Environment
On Sept. 17, 2020, S&P DJI’s Indexology blog shared a post I wrote titled “Comparing Defensive Factors During the Last 3 Bear Markets.” This blog is a continuation of that study, examining the results of the same factors during the 18-month period around the 2022 market correction that led the S&P 500® officially into bear…
Introducing the S&P SmallCap 600 QVML Top 90% Multi-Factor Index
For market participants seeking to measure small-cap, multi-factor equity premia with greater diversification and historically lower tracking error (TE), S&P DJI has recently launched the S&P SmallCap 600® Quality, Value, Momentum and Low Volatility (QVML) Top 90% Multi-Factor Index. In this blog, we will examine the index construction methodology, historic performance, sector composition and factor…
S&P 500 Low Volatility Index May 2023 Rebalance
Since the last rebalance for the S&P 500® Low Volatility Index on Feb. 17, 2023, the S&P 500 finished up 3.2% despite briefly dropping in mid-March during the collapse of Silicon Valley Bank. Exhibit 1 shows that during this period, the S&P 500 Low Volatility Index underperformed the S&P 500 by 4.3%. This divergence is…
- Categories Factors
- Tags factors, Low Vol, low volatility, S&P 500 Low Volatility Index, sectors, smart beta, US FA
- Categories
- Factors
The S&P GARP Index Series Expands to Include S&P MidCap 400 and S&P SmallCap 600 Versions
The S&P 500® GARP (Growth at a Reasonable Price) Index was launched in February 2019 to strike a balance between pure growth and pure valuation. Due to its popularity among market participants, this index series has recently been expanded to include the S&P MidCap 400® GARP Index and the S&P SmallCap 600 GARP® Index. The…
Active or Agnostic?
In order to generate value for his clients, an active investment manager must deviate from a passive benchmark—by choosing sectors, or styles, or individual stocks that the manager predicts will outperform. The manager’s value is dependent on the accuracy of his predictions; the better he is at identifying the best sectors, or styles, or stocks,…
