Tag Archives: Hamish Preston
Lessons from 20 Years of Equal Weight
How has equal-weight compared with cap-weight historically? S&P DJI’s Hamish Preston and Invesco’s Nick Kalivas explore how differences in index construction have influenced index performance, sector and factor composition, and results in the latest SPIVA Scorecards.
Equally Weighting within Sectors: Impact and Potential Applications
The outperformance of equal weight indices is well documented, especially for the S&P 500® Equal Weight Index’s 20 years of live history. Equal Weight’s relative returns reflect the impact of several important index characteristics. For example, smaller-size exposure and (anti-) momentum effects together account for around 75% of the historical variation of its relative returns….
What Drives S&P 500 Rebalance Turnover?
The S&P 500® undergoes quarterly updates—more colloquially known as rebalances—after the close of the third Friday in March, June, September and December. These updates typically affect the S&P 500’s composition and have turnover implications for investors tracking the index. For example, Exhibit 1 shows the S&P 500 turnover at each rebalance between March 1995 and…
- Categories S&P 500 & DJIA
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- S&P 500 & DJIA
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GICS Changes Are Approaching
After the close on March 17, 2023, changes to the Global Industry Classification Standard (GICS®) structure will go into effect in GICS Direct and in S&P DJI’s indices. These changes will affect most sectors and will change what it means to be sector neutral. For example, Exhibit 1 compares the S&P 500 sector weights at…
- Categories Equities
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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,…
- Categories Factors
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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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Watch Your Weighting Scheme
2022 has witnessed a recalibration across financial markets, as investors have digested the impact of higher interest rates amid elevated inflation. Despite bouts of optimism that the U.S. Federal Reserve would take a more dovish stance, and better-than-expected corporate earnings, Exhibit 1 shows that the vast majority of large-, mid- and small-cap indices declined through…
Why Core Construction Matters
Look inside the S&P 1500 and its core components as S&P DJI’s Hamish Preston explores the performance of Equal Weight and sector indices, as well as highlighting how positive earnings can influence performance.
Style Perspectives In Vogue
U.S. equities have had a tough start to the year amid rising inflation concerns, anticipated rate hikes by the Federal Reserve, earnings misses from several mega-cap companies, and ongoing geopolitical tensions emanating from the Russia-Ukraine conflict. Exhibit 1 shows that the S&P 500®, S&P MidCap 400®, and S&P SmallCap 600® all declined in the first…
- Categories Equities, S&P 500 & DJIA
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S&P SmallCap 600: A Pandemic Case Study
Index construction matters when seeking to understand differences in index characteristics and any resulting divergences in index performance. One of the clearest examples of the importance of index construction comes when comparing the S&P SmallCap 600® and the Russell 2000. Indeed, while both indices are designed to measure the performance of the small-cap U.S. equity…
- Categories Equities
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