Tag Archives: factor investing
A European Perspective on the U.S. MidCap Sweet Spot
Should European investors be looking beyond largecap U.S. equities for core exposure? S&P DJI’s Tim Edwards and State Street Global Advisors’ Rebecca Chesworth explore the case for U.S. midcaps through broad and tactical sector exposures.
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A Stable Regime
In recent days the S&P 500 reached multiple new highs, despite the stilluncertain nature of the economy’s recovery from the COVID19 pandemic. Year to date through Aug. 20, 2020, the S&P 500 is up 6% while the S&P 500 Low Volatility Index is down 6%. Market volatility remains high, as evidenced by the charts in…
 Categories Equities, Factors, Strategy

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2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Is ESG a Factor? The S&P 500 ESG Index’s Steady Outperformance
Since launching the S&P ESG Index Series, we have been continuously asked the same question: Can environmental, social, and governance (ESG) be considered a factor that outperforms? In short, since its launch in January 2019, the S&P 500® ESG Index has outperformed (see Exhibit 1). We further analyzed the performance characteristics of the S&P 500…
Big Sector Shifts in Low Volatility Composition
In March, COVID19 inspired volatility roiled markets across the globe. Similarly, the volatility of the S&P/TSX Composite also jumped. The increase, however, was not balanced across all sectors. We see this manifested in the most recent rebalance for the S&P/TSX Composite Low Volatility Index. Effective after the close of trading April 24, 2020, Exhibit 1…
 Categories Equities, Factors, Strategy

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2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, risk management, S&P TSX Composite, S&P/TSX Capped Composite Sector Indices, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, risk management, S&P TSX Composite, S&P/TSX Capped Composite Sector Indices, sectors, smart beta, smart beta strategies, strategic beta, strategy index
A Changed World
The world looks much different than it did three months ago. Since then equities hit their alltime peak, entered a bear market, exited a bear market, and currently sit 15% off peak with sustained higher volatility levels. The latest rebalance for the S&P 500 Low Volatility Index®, effective after the close of trading today, rotated…
 Categories Equities, Factors, Strategy

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2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Low Volatility in Europe and Asia
“The rich, the poor, the high, the low Alike the various symptoms know”–The Influenza Winston Churchill, 1890 By this point, the infamous COVID19 has made its way around the world and wreaked havoc through equity markets across the globe. We’ve already highlighted the value of protection in the U.S. and Canada. Pandemics show no respect…
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2020, COVID19, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P/tsx composite low volatility, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, COVID19, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P/tsx composite low volatility, smart beta, smart beta strategies, strategic beta, strategy index
The Virtue of Protection
It remains to be seen what the full economic impact of the COVID19 virus will be, but it is already clear that no equity market has escaped unscathed. (In fact, most of them have been scathed rather badly.) The Canadian equity market was humming along in 2020 through February 20, 2020, with the S&P/TSX Composite…
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2020, Canadian equities, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P/tsx composite low volatility, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, Canadian equities, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P/tsx composite low volatility, smart beta, smart beta strategies, strategic beta, strategy index
The Irrelevance of Value in Low Volatility
Low volatility strategies have achieved considerable market acceptance in the aftermath of the 2008 financial crisis. For most of the 12 years since then, skeptics have argued that low vol might become, and sometimes that it has become, overvalued. It’s an understandable concern, especially in light of the continuing popularity of low volatility strategies. We…
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2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P 500 Low Volatility, S&P 500 Low Volatility Index, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P 500 Low Volatility, S&P 500 Low Volatility Index, smart beta strategies, strategic beta, strategy index
Protection and Participation
Through Feb. 20, 2020, the S&P 500 Low Volatility Index® is up 5.9% compared to a gain of 4.7% for the S&P 500. Equities roared out of the gate in 2020 but a hiccup in late January allowed Low Vol to catch up and eventually overtake the S&P 500. Those who are familiar with low…
 Categories Equities, Factors, Strategy

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2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Winning by Losing Less
Except for a couple of hiccups, the U.S. stock market has more or less hummed along in an upward trajectory for 2019. Through October, the S&P 500 is up 23%. What is surprising is that the S&P 500 Low Volatility Index® outperformed the benchmark by almost 3%, gaining 26% over the same period. This is…
 Categories Factors, S&P 500 & DJIA, Strategy

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2019, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 Factors, S&P 500 & DJIA, Strategy
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 2019, defensive strategies, Factor, factor analysis, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index