Tag Archives: dispersion
SPIVA Japan Scorecard 2022: Active Underperformance Despite an Abundance of Opportunities
The inaugural S&P Indices versus Active (SPIVA®) U.S. Scorecard was published in 2002, and has since been extended to Australia, Canada, Europe, India, Japan, Latin America, South Africa and the Middle East & North Africa (MENA), allowing investors to experience the active versus passive debate on a global scale. The SPIVA Japan Scorecard measures the…
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Examining the Effectiveness of Defensive Strategy Indices
What does history have to say about the effectiveness of factor indices as defensive tools? S&P DJI’s Craig Lazzara explores defense beyond bonds and how defensive factors influence risk/return in different market environments.
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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.
Tracking Trends with Indices
How can indices help investors understand what’s driving market trends amid inflation, rising rates, and volatility? S&P DJI’s Anu Ganti and Hamish Preston take a closer look at key trends and what they could mean for active management and asset allocation moving forward.
- Categories Factors
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Tumultuous Trends
The S&P 500® posted its worst first-half performance since 1970,1 as inflation concerns, Fed rate hikes and slowing economic growth have weighed on markets. Mega caps were hit particularly hard, with the S&P 500 Top 50 posting a loss of 22%, underperforming the S&P 500 by 2%. Exhibit 1 shows that Information Technology was the…
- Categories Equities, Factors, S&P 500 & DJIA
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Opportunity to Outperform
It’s been a challenging year for U.S. equities as investors adjust to a new rising rate regime, with inflation concerns at the forefront, coupled with uncertainty around future economic growth. Market commentators have argued that this environment is ideal for stock pickers to shine. This argument is correct, but with a caveat. With the S&P…
- Categories Equities, S&P 500 & DJIA
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Style Perspectives In Vogue
U.S. equities have had a tough start to the year amid rising inflation concerns, anticipated rate hikes by the Federal Reserve, earnings misses from several mega-cap companies, and ongoing geopolitical tensions emanating from the Russia-Ukraine conflict. Exhibit 1 shows that the S&P 500®, S&P MidCap 400®, and S&P SmallCap 600® all declined in the first…
- Categories Equities, S&P 500 & DJIA
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Kensho Correlations
The Wall Street Journal reported that many active managers struggled to outperform the market in 2021. This underperformance is not surprising, as we observed less than ideal prospects last year for active management both in the U.S. and globally. Dispersion and correlation provide convenient lenses through which to analyze stock selection conditions. All else equal,…
No Safe Harbor for Stockpickers
We can use volatility and its components dispersion and correlation to analyze stock selection conditions globally. Most active managers run less diversified, more volatile portfolios than their index counterparts. Active managers should prefer above-average dispersion because stock selection skill is worth more when dispersion is high. The role of correlation is more subtle. While counterintuitive,…
- Categories Equities, S&P 500 & DJIA
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Active Management: Naughty or Nice?
The history of active investment management is, for the most part, a history of failure and frustration. Most active managers underperform most of the time, and success in one period seems not to predict subsequent success. We have long argued that active underperformance is not coincidental—it happens for identifiable and understandable reasons, and is therefore…
- Categories Equities, S&P 500 & DJIA
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