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Tag Archives: factors

Jan 30, 2023

What Performance Reversals Suggest

Investment results in 2022 were distinctly different from those of the recent past. The S&P 500®, which had doubled in the three years between 2019 and 2021, fell by more than 18% last year, and Exhibit 1 shows that there were regime shifts among factor indices as well. The dominance of Value over Growth in…

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Jan 26, 2023

Surveying Style Indices

How can index construction inform style selection? S&P DJI’s Craig Lazzara takes a closer look at the S&P Style and S&P Pure Style Indices and how these different approaches to indexing Growth and Value are designed to help advisors align strategies with client objectives.

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Jan 17, 2023

Style, Size, and Skewness

Two of the biggest reversals of 2022 compared to 2021 were the outperformance of smaller caps and the outperformance of value compared to growth. Both of these factors helped drive the S&P 500® Equal Weight Index’s recovery last year, as well as a decline in market concentration. As sector and style exposures are not independent,…

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Jan 17, 2023

When the Winds Change

“Change is the investor’s only certainty.” Thomas Rowe Price, Jr. 2022 marked several major changes in market trends amid a substantial shift in global macroeconomic regimes. After historic levels of stimulus, multi-decade highs in inflation across several major economies led to monetary tightening. This shift weighed on asset classes in many regions, and traditional routes…

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Jan 16, 2023

Contextualizing Style Shifts

The S&P U.S. Style Indices are designed to provide broad and exhaustive exposure to the market’s value and growth segments. Our index methodology bifurcates a parent index’s market capitalization into roughly equal portions on the third Friday in December, using six measures shown in Exhibit 1.  Although the composition of style indices changes every year,…

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Jan 11, 2023

Style Chicken or Sectoral Egg?

Anyone who has perused our S&P 500® Factor Dashboard for December 2022 (and it’s a shame if you have not) will recognize Exhibit 1 below. The horizontal axis represents the difference between the weighted average value and growth scores (at the beginning of 2022) for each of the 17 factor indices in our dashboard, while…

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Jan 9, 2023

Celebrating 20 Years of the S&P 500 Equal Weight Index

The S&P 500® Equal Weight Index launched on Jan. 8, 2003, so Sunday marked 20 years since the index first allowed investors to measure the performance of egalitarian allocations among S&P 500 constituents. The index is now tracked by various investment products globally, and it has potential benchmarking applications. Exhibit 1 shows that the S&P…

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Nov 23, 2022

Understanding the Low Volatility Anomaly

Take a deep dive into the low volatility anomaly as S&P DJI’s Craig Lazzara explains what the anomaly is, when and why it outperforms, and the role of dispersion in identifying potential opportunities.

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Nov 21, 2022

A Stalwart Delivers

U.S. equities struggled again in the past three months. The last rebalance for the S&P 500® Low Volatility Index was in August 2022 and the S&P 500 has since declined 7.0%. The S&P 500 Low Volatility Index, which has historically moderated the performance of the benchmark, lost 5.1% in the same period. For the entirety…

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Oct 24, 2022

Refining the Quality Metrics

Introduction High-quality companies have always been appealing to investors. In fact, quality equity investing was documented as early as 1949 by Benjamin Graham in his original publication of The Intelligent Investor.1 Despite a wide range of definitions for what constitutes a high-quality company, characteristics such as profitability, competitive position, earnings quality, corporate governance and modest…

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