Tag Archives: factors

Battle of Factors: Low Volatility versus High Beta

2020 has surprised us all with a number of firsts. Not only did we witness wild swings in the market from one quarter to the next, we also saw an unusual performance of commonly followed factors. While this blog will not attempt to predict factor performance, it will address recent factor behavior and put this Read more […]

Looking Under the Hood of S&P 500 Information Technology Performance

Has the IT sector done well because of the quality factor, or is it the other way round? S&P DJI’s Anu Ganti takes a closer look at the relationship between sectors and factors to explore what’s driving IT’s climb over the past 12 months. Read the blog: https://www.indexologyblog.com/2020/05/27/symbiotic-sentiments/ 

What Can S&P DJI’s Custom Indexing Do For You?

Our custom index solutions empower clients to achieve any strategy by bringing their investment ideas to life. Find out why ETF sponsors, derivative desks, financial advisors, self-indexers, structured product teams, exchanges, and plan sponsors around the globe turn to S&P DJI for their custom needs.

Comparing Bottom-Up versus Top-Down Multi-Factor Construction

The S&P 500® Quality, Value & Momentum Multi-Factor Index is designed to measure the performance of stocks having the highest combination of quality, value, and momentum (QVM). It takes a “bottom-up” approach of scoring each stock on its individual factor attributes and selecting stocks that jointly score highest across all the factors [1]. In light Read more […]

Factors and Factor Indices

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, Read more […]

Exploring Low Volatility over the Long-Term in India

How does the low volatility factor respond to periods of crisis and do the results tend to hold over the long term in India? S&P DJI’s Koel Ghosh takes a closer look at the low volatility anomaly in India. Read more here: https://www.indexologyblog.com/2020/03/24/low-volatility-strategies-in-times-of-high-volatility/.

Using Sector & Industry Indices to Uncover Opportunity

Could higher dispersion in sectors and industries translate to outperformance? S&P DJI’s Anu Ganti explores how index data can be used to inform tactical sector rotation strategies in periods of high volatility. Get the latest sector dashboard: https://spdji.com/indexology/sectors/us-sector-dashboard.

The Defensive Advantage

A wise man told me years ago that there are some things you can’t get if you go after them directly.  If you’ve ever watched someone trying to sound interesting, you’ll realize the truth of my friend’s observation.  There are plenty of interesting people out there, of course, but they achieve that status by pursuing Read more […]

The S&P 500 Quality Index: Attributes and Performance Drivers

COVID-19 driven volatility has caused market participants to refocus on defensive strategies. As investors turned to quality, the S&P 500® Quality Index demonstrated better downside protection and outperformed. Furthermore, it offered a sizable dividend yield of 2.2%. This analysis investigates attributes of the index. Breaking Down Components From all-time highs on Feb. 19, 2020, to Read more […]

Low Volatility Response in Brazil

The S&P/B3 Low Volatility Index Celebrates Five Years of Outperforming Its Benchmark The COVID-19 pandemic hit the Brazilian equity market hard, causing the worst monthly performance since September 1999.[1] As measured by the S&P Brazil BMI, the Brazilian equity market lost 29.80% in March 2020. The S&P/B3 Low Volatility Index exceeded its benchmark by 640 Read more […]