Tag Archives: 2017
Large Caps and Growth Outperformed By Most Since 1999
In December, the S&P 500 (TR) gained 1.1%, posting its 14th consecutive monthly gain, the longest monthly streak on record (data since Sep. 1989.) Also, the S&P MidCap 400 (TR) gained 0.2%, while the S&P SmallCap 600 (TR) lost 0.5%, bringing the 2017 performance to a respective 21.8%, 16.2% and 13.2% for the S&P 500 (TR), S&P MidCap 400…
- Categories Equities, S&P 500 & DJIA
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2017…Among the Sleepiest of Years
If 2016 was unremarkable, 2017 was downright sleepy…at least as far as equity markets were concerned. In 2017, the S&P 500 notched the lowest level of volatility in 27 years. Both dispersion and correlations were among the lowest levels in the same period. This is in spite of a year that was far from lacking…
- Categories Equities, Uncategorized
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2018, Active, active management, active performance, active v. passive, correlation, Correlations, dispersion, dispersion-correlation map, equities, Equity, Fei Mei Chan, index dynamics, index investment strategy, institutional investor, Passive, S&P 500, S&P Europe 350, S&P Pan Asia BMI, stock, volatility
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- Equities, Uncategorized
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- 2018, Active, active management, active performance, active v. passive, correlation, Correlations, dispersion, dispersion-correlation map, equities, Equity, Fei Mei Chan, index dynamics, index investment strategy, institutional investor, Passive, S&P 500, S&P Europe 350, S&P Pan Asia BMI, stock, volatility
Pockets of Active Achievement
The last 16 years have not been kind to active management. But that shouldn’t come as a surprise. Unless the laws of basic arithmetic change, the theoretical argument on the perils of active management is ironclad. SPIVA data offer solid evidence to back up theory. As the chart below shows, most active managers underperform most…
- Categories Equities
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Active Managers: Hope for high dispersion, not just low correlations
The Wall Street Journal recently reported that, according to analysis by Credit Suisse, the correlation among S&P 500 sectors had fallen close to its lowest level ever, and that this was good for active equity managers, “who find it easier to make money betting on specific companies or trends when stocks aren’t all moving together.”…
- Categories Equities
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How Low Can Volatility Go?
There’s still some time remaining in 2017, but if it goes the way the year has thus far, this will be the least volatile year for the S&P 500 in 22 years. Given this context, selection to the S&P 500® Low Volatility Index (an index of the 100 least volatile stocks in the S&P 500)…
- Categories Equities, Factors, Strategy
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defensive strategies, Factor, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology
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- defensive strategies, Factor, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology
Stock Picking AI? Elementary, My Dear Watson
Keen watchers of the ever-developing exchange-traded product space may have noticed an intriguing development last week, as the first purely “artificial intelligence”-based stock-picking ETF launched. Powered by IBM’s “Watson” platform, the fund sponsors claim to use a proprietary quantitative model to select stocks that will outperform, based on machine learning applied to vast data sets. One cannot help wondering…
- Categories Factors, S&P 500 & DJIA, Strategy
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- Factors, S&P 500 & DJIA, Strategy
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Low Volatility, VIX and Behavioral Finance
As this week’s award of the Nobel Prize in Economics to Richard Thaler confirmed, the existence of behavioral biases in finance is no longer a controversial theory. People often prefer a small chance of a large gain to a near-certain chance of a small gain, even if the expected return from the latter is higher. …
- Categories Factors, S&P 500 & DJIA, Strategy
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Turning Point?
Here are six notable developments in the U.S. financial markets in September 2017. Smaller caps outperformed large caps. Value outperformed growth. Energy was the top-performing sector, and the utilities sector was the worst-performer. Developed markets posted gains, while emerging markets lost steam. Commodity indices rebounded, driven by recent strength in energy. U.S. 10-year and 30-year…
- Categories Equities
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Don’t Shoot the Messenger
Here are some recent headlines about the consequences of passive investing: Japan Central Bank’s ETF Shopping Spree Is Becoming a Worry Passive Market Share to Overtake Active in the US No Later than 2024 Passive investing boom is creating a ‘frightening’ risk for markets ETFs are taking over the world, and there’s nothing anyone can…
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Financials Gain More Prominence in Latest Low Vol Rebalance
Volatility has been generally subdued so far this year. In the latest rebalance, the S&P 500® Low Volatility Index’s most significant sector shift was to Financials (adding 5% to bring the sector to 21% of the index). Allocation in the remaining sectors did not deviate too far from the last rebalance. Technology’s weight, which increased…
- Categories Equities, Factors, Strategy, Uncategorized
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Other Tags
defensive strategies, Factor, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology
- Categories
- Equities, Factors, Strategy, Uncategorized
- Other Tags
- defensive strategies, Factor, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology