Tag Archives: earnings

S&P Composite 1500®: Providing Higher Quality U.S. Equity Exposure

Over the last few years, mega-cap companies have played an increasingly important role in driving U.S. equity market returns. Indeed, the five largest names in the S&P 500® accounted for 16.8% of the index at the end of last year, the highest year-end weight since 1982 and higher than the 16.6% reached at the end Read more […]

The Rising Importance of Dividends When Earnings Slow

Summary With Q3’s earnings season substantially complete, 2019 earnings for S&P 500 companies are expected to decline on a year-over-year basis. After several strong quarters last year, the first three quarters this year have seen marked earnings deceleration. Providing 1/3 of historical S&P 500 total returns, dividends could become important when the market may be Read more […]

The Case for Positive Earnings Criteria in International Small-Cap Benchmarks

We recently published a research paper, “Building Better International Small-Cap Benchmarks,” offering a comprehensive look at the recently launched S&P Global SmallCap Select Index Series. These indices are designed to measure the performance of small-cap companies with positive earnings. Why incorporate positive earnings criteria into small-cap benchmarks? The initial foundation stems from two prior studies[1],[2]; Read more […]

Finding Better Beta in the International Small-Cap Markets

S&P Dow Jones Indices recently launched the S&P Global SmallCap Select Index Series.  These indices aim to provide broad market exposure to small-cap equities around the world that have a track record of generating positive earnings. As prior S&P DJI research highlighted, the S&P SmallCap 600® outperformed the Russell 2000 by around 2% on an Read more […]

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 Read more […]

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, Read more […]

One Big Problem In July For One Small Cap Index

Much attention has been drawn to small caps by top tier media since the small cap premium is now the biggest in eight years and the fifth biggest in history. The outperformance of the small cap stocks versus the large caps is being driven by the current economic environment of growth, rising interest rates, inflation and Read more […]

Do Earnings Revisions Matter in India?

Market participants have used common risk factors such as value, momentum, dividends, low volatility, quality, and size (small cap) to construct portfolios historically. Our recently published research paper, “Do Earnings Revisions Matter in Asia?,” explored the performance of earnings revision strategies as an alternative source of return drivers across seven markets in Pan Asia, including Read more […]

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 Read more […]

Earnings Revision Strategies in Asia

Factor-based strategies have been regularly used by market participants in their portfolio construction process. Apart from the established factors like value, size, volatility, etc., research on alternative factors has remained important to explain sources of alpha. One such alternative factor is consensus analysts’ earnings forecasts. Ample empirical research exists that explains the market’s reaction to Read more […]