Tag Archives: institutional investor
2023 Has Already Been Trepidatious
A sizzling start for Canadian equities in 2023 found itself fizzling as March began. Despite having a return of as much as 7% in late January/early February, through March 17, 2023, the S&P/TSX Composite Index was up 0.7% YTD. In line with historical trends, the S&P/TSX Composite Low Volatility Index underperformed, declining 0.1%. Volatility rose…
Collections of Factors
Traditional investors think of portfolios (whether active or indexed) as collections of stocks. We can equally well think of portfolios as collections of factors—defining factor in the academic sense, as an attribute with which excess returns are thought to be associated. If we’re correct in assessing these attributes, it should be possible to explain portfolio…
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Equities Recover
In the first seven weeks of 2023, U.S. equities regained a third of the ground lost in 2022 (down 18.1% in 2022 and up 6.5% YTD through February 17, 2023). Exhibit 1 shows that since its last rebalance, the S&P 500® Low Volatility Index, which seeks to mute the gyrations of the market in both…
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Good Things Come in Threes: Muni Bonds Appear Ripe for 2023
With one month down in 2023, let’s track the performance of municipal bonds so far: as of Jan. 31, 2023, the yield for the S&P National AMT-Free Municipal Bond Index was at roughly 3% (3.02% to be exact). The total return was up about 3% for January (2.87% to be exact), putting a dent in…
- Categories Fixed Income
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- Fixed Income
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Record CDS Index Volumes As We Head into the 20-Year Anniversary of iTraxx and CDX
This blog was co-authored by Srichandra Masabathula and Nicholas Godec In 2022, volumes in CDX and iTraxx reached an all-time high of nearly USD 36 trillion—a 43% year-over-year increase. Such record-breaking volumes occurred as we fast approach the 20-year anniversary of the indices—CDX and iTraxx will roll into Series 40 in March and September 2023,…
- Categories Fixed Income
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- Fixed Income
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What Performance Reversals Suggest
Investment results in 2022 were distinctly different from those of the recent past. The S&P 500®, which had doubled in the three years between 2019 and 2021, fell by more than 18% last year, and Exhibit 1 shows that there were regime shifts among factor indices as well. The dominance of Value over Growth in…
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The Key to the S&P 500 ESG Index’s Outperformance: Avoiding the “Worst”
Now approaching its fourth anniversary since launch, the S&P 500® ESG Index seeks to reflect many of the attributes of the S&P 500 itself, while providing an improved sustainability profile as a result of an updated ESG score.1 With live performance data covering an extraordinary period—including two bear markets on either side of a growth…
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- ESG
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A Spider Spins a SPIVA Special
Thirty years ago, Bill Clinton was getting ready for his inauguration as the 42nd U.S. president, the S&P 500® closed a little over 430 and the latest edition of Business Week was trumpeting that 1993 would be “The Year of Picking Wisely” in the stock market. Meanwhile, a different kind of security was about to…
- Categories Equities, S&P 500 & DJIA
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- Equities, S&P 500 & DJIA
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Safe Harbors and Silver Linings
As we reflect on this year’s notable market themes, one trend is certain: it has been a tumultuous market characterized by rate hikes and inflation concerns across regions, with significant losses across asset classes. Crypto market performance added to jitters, with the S&P Cryptocurrency LargeCap Index down 66% YTD. Losses throughout the year culminated in…
- Categories Equities, Fixed Income, S&P 500 & DJIA
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Tip of the Iceberg: Fixed Income ETFs in Times of Crisis
20 and 15 years after the launches of the first ETFs based on the iBoxx USD Liquid Investment Grade (IG) Index and iBoxx USD Liquid High Yield (HY) Index, respectively, ETFs are increasingly used to trade fixed income without the necessity of transacting individual bonds. The tradability of bond ETFs has been leveraged by a…
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