Tag Archives: high beta
Finding a Factor Fit
How can three decades of factor index performance history help investors make more informed decisions and measure the effectiveness of active managers? Join S&P DJI’s Craig Lazzara and Anu Ganti for a closer look at factor performance across a range of market environments. Learn more: https://www.spglobal.com/spdji/en/research/article/factor-indices-a-simple-compendium/
- Categories Factors, Strategy
-
Other Tags
2022, Active, Active vs. Passive, alternate beta, alternative beta, Anu Ganti, beta, Core Factor PM, Core Factors, Craig Lazzara, dividend growth, Factor, Index Investment Strategy, low volatility, momentum, Passive, quality, risk management, Risk Premia, S&P 500 Factors, S&P Dow Jones Indices, SPIVA, U.S. equities
- Other Tags
- 2022, Active, Active vs. Passive, alternate beta, alternative beta, Anu Ganti, beta, Core Factor PM, Core Factors, Craig Lazzara, dividend growth, Factor, Index Investment Strategy, low volatility, momentum, Passive, quality, risk management, Risk Premia, S&P 500 Factors, S&P Dow Jones Indices, SPIVA, U.S. equities
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…
- Categories Factors, S&P 500 & DJIA
- Other Tags
Focusing on Factor Indices
Factor indices have two important uses. First, they can be used as benchmarks to help clients of specialist managers disentangle how much of the manager’s performance is attributable simply to factor exposure, and how much is attributable to the manager’s stock selection beyond the factor. Second, factor indices can be used as investment vehicles to…
- Categories Factors
- Other Tags
Active Management: Naughty or Nice?
The history of active investment management is, for the most part, a history of failure and frustration. Most active managers underperform most of the time, and success in one period seems not to predict subsequent success. We have long argued that active underperformance is not coincidental—it happens for identifiable and understandable reasons, and is therefore…
- Categories Equities, S&P 500 & DJIA
- Other Tags
Happy Birthday to Low Vol and High Beta!
On April 4, 2011, S&P DJI launched two strategy indices, the S&P 500® Low Volatility Index and the S&P 500 High Beta Index. Ten years of live history let us compare how the two indices actually performed versus their pre-launch back-tests. Many investors take back-tested history with an understandable grain of salt. But even live…
- Categories Factors
- Other Tags
Observing a Regime Change
In politics, “regime change” denotes the replacement of one governmental structure with another; in economics, we use the same term to indicate a shift in the interactions of various parts of the economic or financial system. Political regime changes are easy to identify (after all, a military coup is hard to miss). Defining when an…
- Categories Equities, Factors, S&P 500 & DJIA, Strategy
- Other Tags
- Categories
- Equities, Factors, S&P 500 & DJIA, Strategy
- Other Tags
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…
The S&P/B3 High Beta Index – An Unlevered Framework for Bullish Tactics
Since the beginning of 2019, the Brazilian stock market has been in bullish territory, generating double-digit gains in January alone (10.59% in local currency and 17.71% in U.S. dollars).[1] Market participants are calling for a strategy to help them take advantage of the current favorable view on Brazilian equities. The S&P/B3 High Beta Index may…
- Categories Strategy
- Other Tags
- Categories
- Strategy
- Other Tags
Rising Rates Arrive
Which of the figures below belong together? It’s obvious, even if analogies aren’t your strong suit, that A is like C and B is like D. A and C are not like B and D. The economic relevance of this simple visual exercise is this: At its March 2017 meeting, the Federal Open Market…
- Categories Equities, Factors, Fixed Income, Strategy, Uncategorized
-
Other Tags
2017, defensive strategies, equities, Equity, Factor, Fed Funds Rate, Fed Policy, Fed Rate Policy, Federal Funds Target Rate, Federal Reserve, Fei Mei Chan, Higher Interest rates, Index Investment Strategy, institutional investor, interest rates, low volatility, Raising Fed Funds, rising rates, risk, S&P 500, S&P 500 (TR), S&P 500 High Beta Index, S&P 500 Low Volatility, S&P 500 Low Volatility High Dividend Index, smart beta, stock, U.S. Federal Reserve
- Categories
- Equities, Factors, Fixed Income, Strategy, Uncategorized
- Other Tags
- 2017, defensive strategies, equities, Equity, Factor, Fed Funds Rate, Fed Policy, Fed Rate Policy, Federal Funds Target Rate, Federal Reserve, Fei Mei Chan, Higher Interest rates, Index Investment Strategy, institutional investor, interest rates, low volatility, Raising Fed Funds, rising rates, risk, S&P 500, S&P 500 (TR), S&P 500 High Beta Index, S&P 500 Low Volatility, S&P 500 Low Volatility High Dividend Index, smart beta, stock, U.S. Federal Reserve
Examining Sector and Factor Performance in the Third Quarter of 2016
High beta, value factors among the star performers, while low volatility lags amid heightened appetite for risk The high beta, value and size factors outperformed the broad-market S&P 500 Index by a sizeable margin during the third quarter, with the S&P 500 High Beta Index gaining 12.18% during the three-month period – outpacing all other…
- Categories Factors, S&P 500 & DJIA
- Other Tags
- Categories
- Factors, S&P 500 & DJIA
- Other Tags