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Tag Archives: asia

Feb 2, 2021

How Carbon Weight Adjustment May Reduce Carbon Intensity among Asian Equities

In a previous blog, we reviewed the carbon efficiencies of Asian companies in comparison with their global industry group peers. In this blog, we examine the potential carbon intensity1 reduction on various Asian markets by incorporating a carbon weight adjustment to their respective S&P Global BMI index universes, following the S&P Global Carbon Efficient Index…

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Jan 7, 2021

Are Asian Companies More or Less Carbon Efficient Than Their Global Peers?

With the launch of the S&P Global Carbon Efficient Index Series in 2018, S&P DJI introduced the S&P Carbon Global Standard, a proprietary carbon classification system that assigns carbon deciles to companies within their respective industry groups. The framework uses carbon-to-revenue footprint (carbon intensity) for companies in the S&P Global LargeMidCap to determine carbon decile…

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Sep 15, 2020

Why S&P 500 and DJIA Futures Could Be Useful for Asian Investors during the COVID-19 Selloff

The co-movement of returns that emerged from the interconnection of global markets has important consequences in terms of portfolio hedging and risk management. In our paper, Regional Relevancy of S&P 500® and Dow Jones Industrial Average Futures® in Asia, we highlighted three characteristics of S&P 500 and Dow Jones Industrial Average (DJIA®) futures could potentially…

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Dec 19, 2019

The Effects of Dispersion in Carbon Intensity Scores on Carbon-Efficient Portfolio Construction

In this blog, we investigate the dispersion of carbon intensity scores in detail and its effect on carbon-efficient portfolio construction via equal- and market-cap-weighted approaches. A company’s carbon efficiency is measured by its carbon intensity score (C.I. score), provided by Trucost, which is defined as the greenhouse gas (GHG) emissions from a company’s direct operations…

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Nov 27, 2019

Integrating Low-Carbon with Single Factors in Asia

Factor investing in Asia has grown at a rapid pace, with smart beta passive AUM growing at a 42% compound annual growth rate over the past five years, albeit from a relatively lower base.[1] With increasing awareness of climate change and related risks, investors may look to integrate carbon screening into their factor portfolios. In…

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Nov 20, 2019

The Performance of Carbon-Efficient Portfolios in Asian Markets

In recent years, governments have become increasingly aware of the perils of greenhouse gases and have aimed to penalize the source of pollution while looking to incentivize low-carbon technologies. In addition, investors are now considering an organization’s future financial position to discount potential write-downs of assets and the effect on revenues, costs, cash flows, and…

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Jul 25, 2019

What’s inside the S&P China A-Share Factor Indices? The Impact of Style Risk Factors

In our previous blog, our studies indicated that most factor indices in China exhibited distinct return characteristics during up and down markets. To understand the sources that drive differential factor performance, we examined the risk factor exposures and factor impact on the performance of S&P China A-Share Factor Indices[1] based on the Axioma AXCN4-MH China…

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Sep 20, 2018

Do Signals From Earnings Revisions Matter for Size- or Sector-Neutral Fundamental Factor Strategies?

In our earlier blog, “How Important Are Earnings Revisions Signals for Fundamental Factor Strategies in Asia?”, we discussed that the signals from earnings revisions were important for fundamental factor strategies applied across broad markets. They reduced the risk and enhanced the return of the comparable factor portfolios, across the majority of markets. In our research…

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Sep 12, 2018

How Important Are Earnings Revisions Signals for Fundamental Factor Strategies in Asia?

In our previous blog, “The Hunt for Value With High Earnings Expectations in Asia,” we discussed how a simple sequential earnings revision screen historically delivered positive return alpha over the value screen in the majority of markets. The value screen was constructed based on the average of three underlying factors: book value-to-price ratio, earnings-to-price ratio,…

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Feb 13, 2018

The Hunt for Value With High Earnings Expectations in Asia

In our previous blog, Earnings Revision Strategies in Asia, we discussed how those strategies performed in Asia. Although they worked well in various markets except Japan, there were some implementation challenges, such as high portfolio turnover and low liquidity for small-cap stocks. Therefore, implementing this strategy in combination with other fundamental factors with lower overall…

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