Tag Archives: Anu Ganti
Headwinds on the Active Horizon
Active managers’ performance was disappointing in 2020, despite the market’s heightened volatility. As the market continues to march upward in 2021, it’s natural to wonder if current conditions are favorable for stock pickers. We expect active managers’ difficulties to persist. We can think of volatility in terms of its components: dispersion and correlation. Active managers…
- Categories S&P 500 & DJIA
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Exploring the Potential Implications of Market Reversals
How has the market’s response to the pandemic impacted the potential opportunity set? S&P DJI’s Anu Ganti and Hamish Preston examine where market reversals took place and what they could mean for active management and asset allocation strategies moving forward. Read on: Style Bias and Active Performance
Strength of Savings
In the 20 years ending in 2020, 94% of all large-cap U.S. managers lagged the S&P 500®. Mid- and small-cap results were almost equally disappointing. A notable consequence of these shortfalls in active performance has been the rise in passive investing, one of the most significant trends in modern financial history. Our recent Annual Survey…
- Categories Equities
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Valuing Equal Weight
We have previously discussed the impact of Equal Weight’s rebound on its exposure to the momentum factor. We now turn our attention to its exposure to the value factor, as the recovery in smaller caps and value stocks has been an important tailwind for the strategy. The S&P 500® Equal Weight is typically biased toward…
Concentrating on Technology
After the dominant performance of large-cap technology stocks in 2020, concentration concerns naturally come to mind. The HHI, or Herfindahl-Hirschman Index, is a widely-used concentration measure; it’s defined as the sum of the squared index constituents’ percentage weights (usually taken as whole numbers). For example, the HHI for an equally-weighted 50 stock portfolio is 200…
When Active Management Looks Easier
How can style bias impact the perception of active manager outperformance? S&P DJI’s Craig Lazzara and Anu Ganti discuss how a better understanding of style bias can help market participants interpret active manager performance and our SPIVA results. Learn more: https://www.spglobal.com/spdji/en/research/article/style-bias-and-active-performance/
- Categories Equities
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Mean Reversion and Momentum
After almost four years of underperformance, we witnessed a change in fortune in February 2021, as the relative performance of the S&P 500® Equal Weight Index turned positive. By the end of April, Equal Weight had outperformed the S&P 500 by 11% over the prior 12 months, as we see in Exhibit 1. Equal Weight’s…
- Categories Equities
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Opportunity Does Not Equal Attainment
We’ve previously argued that most managers should prefer above-average correlation, because the incremental volatility a manager accepts to pursue an active strategy will be lower when correlations are high. In addition, active managers should prefer above-average dispersion, because stock selection skill is worth more when dispersion is high. Both correlation and dispersion rose in 2020….
- Categories Equities
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A Change in Fortune
Three months ago, we observed that times of severe underperformance for Equal Weight can bode well for future performance. This reflection had become reality by the end of February. After almost four years of underperformance, the S&P 500® Equal Weight Index outperformed the S&P 500 by 1.6% over the past 12 months, as we see…
A Different Kind of Bubble
Information Technology was the top-performing sector in 2020, up 44%, while Momentum (up 28%) was the second best-performing factor. These two results are reminiscent of the bubble we experienced two decades ago. But the Tech sector of today is not your father’s Tech sector. Similarly, we can analyze the market from a factor perspective and…