Category Archives: Factors

Multi-Factor Strategy in Mexico: The S&P/BMV IPC Quality, Value & Growth Index

Passive use of factor strategies began with growth and value style investing. S&P Dow Jones Indices now offers single- and multi-factor indices that provide exposure to growth, quality, value, momentum, size, yield, and low volatility factors. Factors perform differently depending on market conditions, economic cycles, or investor sentiment. Timing factors can be difficult. Many market Read more […]

Year-End 2018 Canada SPIVA®: Challenging Three Active versus Passive Misconceptions

Our Year-End 2018 Canada SPIVA scorecard was released today.  In addition to showing that the majority of Canadian active equity managers failed to outperform their benchmarks, the scorecard’s results provide the opportunity to dispel some common misconceptions.  Here is a brief summary. 1) Higher volatility does not necessarily result in outperformance by active managers A Read more […]

Spoiler Alert: Yes

We recently updated our paper asking Is the Low Volatility Anomaly Universal? The alert reader (and we have no other kind) will have guessed that it is. This is an empirical conclusion, but a theoretical digression might help explain why this is so remarkable. Low volatility strategies explicitly seek to lower the risk of a Read more […]

How to Stop Worrying about Inflation

Inflation in the US averaged 1.5% annually for the last five years with a peak of 2.9%. Despite today’s low and stable inflation numbers, anxiety that the price level will leap up is driving a search for the reasons it seems low. Today’s inflation is a bit lower than the average since 1914 of 3.2% Read more […]

Volatility Test: Defensive Factor Indices versus Actively Managed Funds

Indices based on factors such as low volatility and quality generally have defensive characteristics. These strategies tend to outperform the broad benchmark in down markets, as previous studies have shown.  Yet some market participants also believe that active management fares somewhat better than the benchmark in periods of volatility and distress. In 2018, the S&P Read more […]

Combining Dividend Aristocrats and Buybacks

Dividends and stock buybacks are two ways that a company returns capital to its shareholders. Investors can benefit from both, but is there a synergy that can result from combining them? We’ve seen a surge in both buyback value and the number of participating companies in recent years. In 2018, 444 of S&P 500® companies Read more […]

Dividends and Buybacks: S&P 500® Buyback Index Outperforms

In general, it is a positive sign when a company buy back shares. This means the company believes its stock is undervalued and is confident about its future earnings. In recent years, buybacks have become increasingly popular. With a record number of companies buying back shares, how are these companies are faring? A company can Read more […]

Positioning for Market Volatility Using Passive Strategies

Fluctuating periods of “risk-on” and “risk-off” mean that spikes in equity market volatility and large drawdowns are increasingly common in today’s economy. Exhibit 1 shows events throughout the current market cycle causing notable rises in volatility and large drawdowns. With more of these likely in the future, as our long bull market cycle ages, how Read more […]

Can All the Children be Above Average?

February has been a great month for factor index performance: of the 17 S&P 500®-based factor indices reported in our quarterly factor dashboard, 11 have outperformed the “vanilla” S&P 500 so far.  Our indices focused on quality and shareholder return are having particularly strong months, with the S&P 500 Dividend Aristocrats®, the S&P 500 Buyback Read more […]

Introducing the S&P GCC Factor Indices

The start of 2019 marks not only the 10th anniversary of S&P Dow Jones Indices in Dubai, but also the expansion of our single- and multi-factor index series into the Gulf Cooperation Council (GCC) region. Our current suite of single factor indices, including those covering low volatility, momentum, enhanced value, and quality factors, are now Read more […]