Tag Archives: alternative beta
How Low Volatility Works in Challenging Markets
When does low volatility tend to outperform and why? S&P DJI’s Craig Lazzara and Invesco’s Nick Kalivas take a closer look at low vol performance in periods of rising rates and inflation, and explore what happens to risk/return when low vol is combined with other factors.
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Understanding the Low Volatility Anomaly
Take a deep dive into the low volatility anomaly as S&P DJI’s Craig Lazzara explains what the anomaly is, when and why it outperforms, and the role of dispersion in identifying potential opportunities.
Finding a Factor Fit
How can three decades of factor index performance history help investors make more informed decisions and measure the effectiveness of active managers? Join S&P DJI’s Craig Lazzara and Anu Ganti for a closer look at factor performance across a range of market environments. Learn more: https://www.spglobal.com/spdji/en/research/article/factor-indices-a-simple-compendium/
- Categories Factors, Strategy
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2022, Active, Active vs. Passive, alternate beta, Anu Ganti, beta, Core Factor PM, Core Factors, Craig Lazzara, dividend growth, Factor, high beta, Index Investment Strategy, low volatility, momentum, Passive, quality, risk management, Risk Premia, S&P 500 Factors, S&P Dow Jones Indices, SPIVA, U.S. Equities
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- 2022, Active, Active vs. Passive, alternate beta, Anu Ganti, beta, Core Factor PM, Core Factors, Craig Lazzara, dividend growth, Factor, high beta, Index Investment Strategy, low volatility, momentum, Passive, quality, risk management, Risk Premia, S&P 500 Factors, S&P Dow Jones Indices, SPIVA, U.S. Equities
A Review of the S&P Global Intrinsic Value Index
The recently published research paper on S&P GIVI®: Factor Investing: A Review of the S&P Global Intrinsic Value Index analyzes in detail the source of GIVI returns globally and regionally. S&P GIVI is a multi-factor global index which provides exposure to low volatility and the value factors by removing 30% of the highest beta stocks…
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Coming Soon to a Dictionary Near You
It may have been 30 years ago, in the early days of stock index futures, that the verb “equitize” (and its cognate noun, “equitization“) came into relatively common use. The term, if Dr. Johnson will forgive me, meant “to provide equity returns without purchasing equity securities.” Typically this was accomplished by buying S&P 500 futures — if I…
- Categories Equities, S&P 500 & DJIA, Strategy
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Low Volatility: Active or Passive?
A recent posting suggested that institutional investors interested in exploiting the low volatility anomaly should do so by using active managers rather than one of the several passive vehicles available. Far be it from me to criticize anyone for talking his own book, since I’m about to do it – but this is reminiscent of…
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