Let’s suppose for a moment that you are given a choice between two hypothetical exchange traded funds (ETFs) tracking the same index. Fund A has an annual management fee of 0.4% while Fund B has an annual management fee of 0.1%. At first glance, Fund B seems like the better option: it offers similar performance Read more […]
A new paper published today provides a new perspective on the active usage of products linked to S&P DJI indices, and illustrates the network of liquidity that has developed around the S&P 500® and other popular benchmarks. “Active” and “passive” are colloquial terms, and it can be hard to distinguish one from the other at Read more […]
Through the end of July, equities had netted a nice gain for 2019 (though the picture looks a lot different so far in August). Unusually, the S&P 500 Low Volatility Index® outperformed in an environment when it has typically lagged its benchmark. (The S&P 500 gained 20.2%, while the low volatility index was up 20.8%, Read more […]
Ever since its formation in response to the “Black Monday” crash of October 1987, the United States “Working Group on Financial Markets” has been accompanied by (persistently-denied) rumours that the group used government funding to make large equity purchases whenever the market fell – giving rise to its informal moniker of the “Plunge Protection Team”. Read more […]
Market gains in the first four months in 2019 more than made up for what it lost in the turbulent last quarter of 2018 as the S&P 500 jumped 18%. Predictably enough, the S&P 500 Low Volatility Index® trailed the broader benchmark (up a “mere” 16% in the first four months), although Low Vol has Read more […]
When do sectors matter, and what can you do about it? Sometimes the sector composition of an equity portfolio strongly affects its returns. At other times, single stock effects or overall market effects dominate. Sector-based products such as ETFs and futures have been around for decades, but recently they have attracted growing interest. Exhibit 1 Read more […]
The S&P 500 Low Volatility Index® made a valiant comeback in late 2018 after trailing for most of the year. The strategy index finished the year well by just staying in positive territory at a 0.27% gain, when the broader S&P 500 declined 4%. It was also the best performing factor index among those based Read more […]
“The more you look at ‘common knowledge’, the more you realise that it is more likely to be common than it is to be knowledge” – Idries Shah, Reflections Statements such as “sell in May and go away” can become accepted wisdom without always facing proper scrutiny. Another aphorism, particularly timely at the present moment, is Read more […]
As a leading index provider with clients and customers around the world, S&P Dow Jones Indices regularly launches new indices. Just like our children, we try to love them all equally. Every now and then, however, a particularly exciting new index comes along. Last week, our global equities group launched a potentially important new benchmark Read more […]
For most of 2018, the S&P 500 Low Volatility Index® underperformed its parent S&P 500. Through the first nine months of 2018, the S&P 500 climbed 11% while the S&P 500 Low Volatility Index was up only 6%. Then October came and, in one month of acute volatility, the low volatility index recaptured parity with Read more […]
