Tag Archives: factors

What’s inside the S&P China A-Share Factor Indices? The Impact of Style Risk Factors

In our previous blog, our studies indicated that most factor indices in China exhibited distinct return characteristics during up and down markets. To understand the sources that drive differential factor performance, we examined the risk factor exposures and factor impact on the performance of S&P China A-Share Factor Indices[1] based on the Axioma AXCN4-MH China Read more […]

Why the Volatility Spike is the Low Volatility Strategy’s Best Friend

The first half of 2019 saw one of the biggest rallies in the domestic market; the S&P 500® rose 18.54% on a total return basis despite concerns of slow economic growth, a trade war, and a possible rate hike. During the same period, the S&P 500 Low Volatility Index surprised the market and rose even Read more […]

Understanding the ESG Consequences of Factor-Based Investing: Part 2

    In our previous blog, we looked at the S&P Factor Indices’ ESG exposures, showing that factor exposures can have an influence on ESG scores. In this blog, we’ll discuss these scores at the sector level and see how implementing an ESG or carbon reduction strategy on poorer ESG-performing factor indices can help investors Read more […]

Carlos Urzúa Resignation and Low Volatility’s Response

Mexico’s Finance Minister, Carlos Urzúa, abruptly resigned on July 9, 2019 over policy disagreements with the current government.[1] Market participants reacted negatively, generating volatility in the Mexican peso’s exchange rate, which fell 2.3% right after the announcement,[2] and the country’s equity market, and bringing a trial by fire for the S&P/BMV IPC Risk Weighted Index Read more […]

The Importance of Being Large-Cap

The performance of U.S. equity factors during Q2 was lackluster, with most underperforming the S&P 500, as seen in Exhibit 1.  While Minimum Volatility and Low Volatility were notable exceptions, Value, Quality, High Beta, and Momentum all lagged the benchmark – in large part because of their tilt toward smaller companies.  Since most factor indices Read more […]

Understanding the ESG Consequences of Factor-Based Investing: Part 1

    “Sustainable investing must go mainstream. Fortunately, the momentum is growing.” – Mark Carney Mark Carney’s statement underpins the sentiment of the investment community, where environmental, social, and governance (ESG) considerations have entered the forefront of investors’ priorities. Whether factor indices have ESG principles integrated or not, understanding a factor’s influence on ESG characteristics, Read more […]

How Does Factor-Based Investing Work in the China A Market?

Factor-based investing has gained popularity in the global investment community. While the long-term risk premia of factors have been evidenced in developed equity markets, some believe the inefficiencies in emerging markets could create better opportunities for factor-based investing. In our recently published paper, “How Smart Beta Strategies Work in the Chinese Market,” we examined the Read more […]

Mayday, Mayday!

Coming into month-end, and as the street prepares its monthly summaries, (all figures are as of May 29th), the S&P 500 looks set to complete the month with a loss of around 5%.  So, what went wrong?  Global markets started the year very positively: the S&P 500 was up 18% by the end of April, Read more […]

Multi-Factor Strategy in Mexico: The S&P/BMV IPC Quality, Value & Growth Index

Passive use of factor strategies began with growth and value style investing. S&P Dow Jones Indices now offers single- and multi-factor indices that provide exposure to growth, quality, value, momentum, size, yield, and low volatility factors. Factors perform differently depending on market conditions, economic cycles, or investor sentiment. Timing factors can be difficult. Many market Read more […]

Volatility Test: Defensive Factor Indices versus Actively Managed Funds

Indices based on factors such as low volatility and quality generally have defensive characteristics. These strategies tend to outperform the broad benchmark in down markets, as previous studies have shown.  Yet some market participants also believe that active management fares somewhat better than the benchmark in periods of volatility and distress. In 2018, the S&P Read more […]