Tag Archives: beta
Alpha, Omicron: Why?
Over the past week, global financial markets have been roiled by the discovery of the “Omicron” COVID-19 mutation. It’s far too soon to know how much this new variant will impact the world’s economy—but its discovery suggests an interesting thought experiment in, of all things, corporate governance. The experiment is this: suppose Omicron turns out…
- Categories Equities, S&P 500 & DJIA
- Other Tags
Dissecting Performance Characteristics of Growth Factors in Australian Small-Cap Equities
In our previous blog, we suggested growth factors with longer lookback periods may be more effective for constructing growth factor portfolios in Australian small-cap equities. In this blog, we examine the performance cyclicality, factor exposure, risk/return decomposition, and factor correlation for the long-term growth factor portfolios.1 From April 20, 2001, to June 30, 2020, the…
Do Dividends Really Pay? (Part 2)
Previously I discussed why preference for dividend-paying stocks may not have a strong theoretical footing, but could be grounded in behavioral and practical reasons. Furthermore, due to possible economic signaling generated by dividends, such strategies may be correlated with widely accepted factors like quality and value. This post demonstrates how specific dividend strategy indices may…
- Other Tags
Commodity Beta: Hogs-Wild? Hardly. Energy Fills the Thrill!
If you believe the S&P 500, which is market cap weighted, is considered the U.S. stock market beta, then the S&P GSCI, which is world-production weighted (analogous to market cap weighted), is the logical choice for commodity beta. Typically, using an index, namely the S&P 500, as the benchmark for beta is standard practice in…
- Categories Commodities, Equities, S&P 500 & DJIA, Uncategorized
- Other Tags
- Categories
- Commodities, Equities, S&P 500 & DJIA, Uncategorized
- Other Tags