Tag Archives: equal weight
A Closer Look at Indexing Equal Weight
How does indexing equal weight work in times of volatility and inflation? S&P DJI’s Craig Lazzara and Invesco’s Nick Kalivas discuss the key drivers behind equal-weight’s historical outperformance vs. the benchmark and what happens when equal weight is combined with factors and/or ESG.
Sizing Sectors
After peaks in S&P 500® concentration, the S&P 500 Equal Weight Index has tended to outperform, suggesting that there is a relationship between changes in concentration and the relative performance of equal weighting. But, does this relationship also occur at the sector level? Using the historical adjusted HHI (Herfindahl-Hirschman Index), we’ve previously established that concentration…
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Contemplating Concentration
After the exceptional performance of large-cap stocks in recent years, concentration concerns naturally come to mind. There are many ways to measure concentration. A simple method is to add up the weight of the top names, but the drawback with this approach is it doesn’t incorporate all the constituents in an index. The Herfindahl-Hirschman Index…
- Categories S&P 500 & DJIA
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Altcoins and Indices – Announcing Two Equal-Weight Indices Covering Largest Coins
In the rapidly evolving world of cryptocurrencies, one area that is getting a lot of attention is altcoins (or alternative coins). Generally, altcoins refer to cryptocurrencies other than Bitcoin. There are thousands of distinct cryptocurrencies that offer a wide variety of exposures. For instance, altcoins power decentralized finance (DeFi), infrastructure, gaming, the metaverse,1 and more….
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Can Equal Weight ESG Indices Pull Their Weight?
Research has shown that equally weighted indices have historically posted long-term outperformance1 over their benchmarks—largely driven by their exposures to small size and value along with associated risk premia, in addition to a healthy dose of concentration reduction.2 However, in accessing compensated factors and reducing concentration, the S&P 500® Equal Weight Index could elicit some…
- Categories ESG
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Exploring the Potential Implications of Market Reversals
How has the market’s response to the pandemic impacted the potential opportunity set? S&P DJI’s Anu Ganti and Hamish Preston examine where market reversals took place and what they could mean for active management and asset allocation strategies moving forward. Read on: Style Bias and Active Performance
Sizing Up Style Returns
After more than a decade of underperformance, and in stark contrast to Growth’s dominance for much of 2020, Value has made an impressive comeback so far in 2021, outperforming Growth around the world, including across the size spectrum in the U.S. In fact, Value’s YTD outperformance against Growth in mid and small caps is the…
Valuing Equal Weight
We have previously discussed the impact of Equal Weight’s rebound on its exposure to the momentum factor. We now turn our attention to its exposure to the value factor, as the recovery in smaller caps and value stocks has been an important tailwind for the strategy. The S&P 500® Equal Weight is typically biased toward…
Concentrating on Technology
After the dominant performance of large-cap technology stocks in 2020, concentration concerns naturally come to mind. The HHI, or Herfindahl-Hirschman Index, is a widely-used concentration measure; it’s defined as the sum of the squared index constituents’ percentage weights (usually taken as whole numbers). For example, the HHI for an equally-weighted 50 stock portfolio is 200…
Mean Reversion and Momentum
After almost four years of underperformance, we witnessed a change in fortune in February 2021, as the relative performance of the S&P 500® Equal Weight Index turned positive. By the end of April, Equal Weight had outperformed the S&P 500 by 11% over the prior 12 months, as we see in Exhibit 1. Equal Weight’s…
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