The S&P ESG Global Macro Index is designed to capture potential opportunities across market conditions through a rules-based, geographically diverse, dynamic mix of ESG equities and fixed income.
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There is a subtle but important distinction between factors and factor indices. “Factor” denotes an attribute with which long-term excess returns are thought to be associated. Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense. A number of other variables – prominently including momentum, low volatility,…
Mea culpa: Roughly a month ago I used a dispersion-correlation map to describe how index dynamics can illuminate market movements. In particular, I reported that since high dispersion seems to be a necessary condition for a bear market, and S&P 500 dispersion levels at the end of February were far below those prevailing in past…
Recent selloffs in the equity markets and a significant rise in volatility signal an end to the 11-year bull market (Bye Bye Bull Market: Reaction to Coronavirus). While most broad market domestic equity indices have declined, the performance of the S&P MARC 5% Index (ER) has held up (1.84%). The answer to its resiliency lies…
The critics of passive investing are nothing if not creative. One of their objections to the growth of index funds stems from the putative problem of “common ownership.” The argument is that index funds’ ownership of many of the competitors in most industries encourages or facilitates collusive behavior. “[T]he fear is that by owning chunks…
Readers of this morning’s Wall Street Journal learned (on the front page, no less) that many of the largest investors in the U.S. equity market hold similar portfolios. “The overlap in the top 50 stockholdings between mutual funds and hedge funds…now stands at near-record levels, a study by Bank of America Merrill Lynch found.” An…
Despite a rocky start and end to 2018 that negatively affected the performance of all the asset classes within the S&P MARC 5% Excess Return (ER) Index,[1] the index maintained a relatively stable performance throughout the year, although it ended the year in red. When you look at the asset classes in the S&P MARC…
Traditionally known for spooky ghosts and witches, October was also a scary month for investors. In spite of an end-of-month rally, global stocks recorded their worst monthly loss since 2011, wiping out USD 5 trillion of investor value. Furthermore, investors were spooked by a rare simultaneous drop in bond prices. In short, this was not…
The returns of two liquid equity benchmarks in South Africa with the same target market have been significantly different YTD as of Oct. 26, 2018. Over the period, the S&P South Africa 50 has declined 8.8% while the FTSE/JSE Top 40 has fallen 12.6%—a difference of over 380 bps—a considerable performance gap over a fairly…
In our previous blog (The Importance of Sector Diversification in a Yield-Focused Strategy – Part I), we highlighted that sector biases in an unconstrained yield strategy could detract from portfolio returns. In this blog, we will show that addressing the sector concentration issue can improve risk-adjusted returns. We constructed three sector-diversified portfolios—the dividend yield portfolio,…
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