Tag Archives: excess return

Aug 20, 2020

Recalled to Life: The S&P SmallCap 600’s Persistent Outperformance after the Russell Reconstitution

S&P DJI’s paper, A Tale of Two Benchmarks (first published in in 2009 and later updated in 2015 and 2019), showed that the S&P SmallCap 600® has structurally outperformed the Russell 2000, primarily benefiting from S&P DJI’s index inclusion criteria for profitability, liquidity, and public float. The paper also delves deeper into several secondary attribution…

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Oct 6, 2016

The Worst of Both Worlds

For active managers, investment results are partly a function of skill and partly a function of the environment in which that skill is exercised.  Even perfect foresight has only conditional value.  Imagine, for example, a manager who can always identify the top quintile of performers in a given market.  If the top quintile outperforms the index as…

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Nov 26, 2013

The (Exponential) Power of Interest Rates on Commodities

Literally – or at least mathematically – there are two equations that tell the tale of interest rate impacts on commodities. As my colleagues Fei Mei Chan and Craig Lazzara pointed out in a recent paper they authored, Much Ado About Interest Rates, “Since yields peaked in 1981, the three subsequent decades have witnessed a remarkable bull…

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