Tag Archives: factors
S&P QVM Top 90% Indices: Looking under the Hood of the March 2022 Rebalance
Since their launch in April 2021, the S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the “S&P QVM Top 90% Indices”) have been a great addition to our multi-factor lineup. These indices are designed to track companies in the top 90% of their respective underlying index universe, ranked by their multi-factor score. To support…
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Hedging Diversification Bets
Low volatility strategies were designed for times like the ones we’ve experienced so far in 2022. Year-to-date through March 31, 2022, equities have struggled. In the U.S., the S&P 500® was down 4.6% YTD. The S&P Developed Ex-U.S. BMI and the S&P Emerging Plus LargeMidCap fared even worse, plummeting 5.6% and 6.7% YTD, respectively. But…
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Canadian Equities Offer Some Solace amid World Turmoil
Despite global geopolitical tensions, Canadian equities, in contrast to U.S. equities, seem to be faring well. Since its rebalance on Dec. 17, 2021, the S&P/TSX Composite gained 5.7% (through March 17, 2022). It was no surprise that the S&P/TSX Composite Low Volatility Index lagged—what was surprising was that it lagged by 1.3%, rising 4.4% over…
Rising Rate Reflections
The Federal Open Market Committee voted to raise the Federal Funds rate by 25 bps on March 16, 2022. This move was well telegraphed and not at all surprising—but that doesn’t mean that we won’t hear concerns about how rising rates will impact equity returns. Finance theory teaches us that, other things equal, rising interest…
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No Easy Answer: Sector and Factor Responses to U.S. Rate Hikes
Although higher rates are generally seen as negative for risk assets, the initial stages of a monetary tightening cycle have not been disastrous for the U.S. stock market historically. However, while the overall market may muddle through just fine, the same may not be true for the different sectors and factors that compose a broad…
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Rising Rates’ Repercussions
Which of the figures in Exhibit 1 belong together? Even if puzzles aren’t your strong suit, it’s not hard to observe that A and C are similar, as are B and D. A and C are not like B and D. Exhibit 1’s puzzle is rooted in recent economic news, specifically in the consensus view…
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Two Volatile Sectors
Since the last rebalance for the S&P 500® Low Volatility Index on Nov. 19, 2021, the market has experienced gyrations not seen since February 2021. The S&P 500 declined 6.44% since the November rebalance, with daily changes of greater than 1% almost half (44%) of the time. Low volatility strategies are designed to smooth out…
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Value Resurgent
This year marks the 30th anniversary of the launch of indices designed to distinguish growth and value investment styles. Investment managers had classified themselves as growth or value specialists (among other possible differentiators) before 1992, but until then it wasn’t possible to evaluate a value manager against a systematically defined value benchmark or a growth…
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S&P 500 Twitter Sentiment Indices: Factor Analysis
We previously introduced the S&P 500 Twitter Sentiment Indices and analyzed their performance characteristics. We noted how the indices seek to capture the Tweet-based sentiment premium, with their differentiated performance being driven by differences in index construction and sector weighting. In this blog, we will examine their exposure to standard risk factors and analyze their…
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S&P 500 Twitter Sentiment Indices: Performance Characteristics
In a previous blog, we introduced the S&P 500® Twitter Sentiment Index and the S&P 500 Twitter Sentiment Select Equal Weight (EW) Index, highlighting their objective and construction. At the core of these indices is a model-based sentiment score that captures the direction and magnitude of the sentiment associated with a given company. S&P DJI…
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