What Mega Insurers’ Turn to Passive Could Mean for Other Large Institutions

Of the more than USD 3.4 trillion invested in ETFs in the U.S.,[1] retail investors comprise the majority of the market. While pensions and endowments have been slow to use ETFs in their investment portfolios, one segment of the institutional market—insurance—has been steadily increasing their usage of ETFs. Earlier this year, S&P DJI analyzed the Read more […]

VIX® Dropped Below S&P 500® Realized Volatility

While everyone has been concerned about the inverted yield curve, the CBOE Volatility Index® (VIX) has been under the 21-trading-day realized volatility of the S&P 500 since Aug. 16, 2019. Since volatility traders care not only about what is expected but also what actually transpired, the spread between implied volatility and realized volatility is one Read more […]

Rotating Between Growth and Value: The S&P 500® Growth Value Rotator Index

Growth and value are two investment styles based on fundamental analysis. A growth company typically has promising earnings potential and tends to invest more in future growth rather than dividend payouts, while a value company tends to be more established, with stable growth rates and dividend distributions. While most market participants are familiar with single-style Read more […]

The Calm That Was

Through the end of July, equities had netted a nice gain for 2019 (though the picture looks a lot different so far in August). Unusually, the S&P 500 Low Volatility Index® outperformed in an environment when it has typically lagged its benchmark. (The S&P 500 gained 20.2%, while the low volatility index was up 20.8%, Read more […]

Size Matters for Active Large-Cap Fund Performance

Over the 15-year period ending March 31, 2019, the biggest 25% of active large-cap equity funds managed about 90% of all the assets under management (AUM) held in active large-cap equity funds. This may suggest that investors’ fund selections skew toward larger funds. But is bigger always better? This topic has been widely debated: although Read more […]

Potential Applications of the Low Volatility High Dividend Concept in Brazil

Historically, the percentage of dividend payers in Brazil has ranged between 71% and 87%,[1] making it a propitious environment for implementing dividend-focused strategies. The highest-yielding stocks in high-yield strategies often come with greater portfolio volatility,[2] and Brazil is no exception. This blog explores the rationale behind the implementation of a low volatility high dividend strategy Read more […]

Beyond Equal Weighting: Reverse Cap Weighting the S&P 500

Consistently outperforming the S&P 500® is difficult. The S&P Dow Jones Indices SPIVA report shows that less than 18% of funds outperformed the S&P 500 (SPX) over the five-year period ending 12/31/2018. So how is it that the S&P 500 Equal Weight Index (SPEWI), a passive index comprised of the very same 500 stocks, accomplished Read more […]

Defensiveness of the Credit Strength Strategy in U.S. Corporate Bonds

Our fundamental credit strength strategy uses credit ratios to screen out issuers with risky credit profiles and construct corporate bond portfolios with strong credit quality (for a detailed methodology, please see our previous blog). Our research shows that a credit strength strategy can potentially reduce return volatility and improve drawdowns. Our goal in this blog Read more […]

The Case for Positive Earnings Criteria in International Small-Cap Benchmarks

We recently published a research paper, “Building Better International Small-Cap Benchmarks,” offering a comprehensive look at the recently launched S&P Global SmallCap Select Index Series. These indices are designed to measure the performance of small-cap companies with positive earnings. Why incorporate positive earnings criteria into small-cap benchmarks? The initial foundation stems from two prior studies[1],[2]; Read more […]

July 2019 Commodities Performance Highlights – A Nickel for Your Thoughts

Commodities markets hit the summer doldrums in July. The S&P GSCI was down 0.2% for the month and 13.1% YTD. The Dow Jones Commodity Index (DJCI) was down 0.8% in July and up 6.1% YTD, reflecting its lower energy weighting. Impressive rallies in nickel and silver markets were pitched against a slump in agriculture prices, Read more […]