Tag Archives: large-cap equities
Examining Passive Performance at the Core
How does indexing work for large-cap equities? S&P DJI’s Hamish Preston and State Street Global Advisor’s Michael Arone take a closer look at lessons from 20 years of SPIVA, including fee savings, outperformance, and what the latest GICS® changes mean for sectors and industries moving forward.
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Is the S&P 500 Doing Its Job?
On Sept. 4, 2020, S&P DJI’s U.S. Index Committee announced that Etsy, Teradyne, and Catalent were being added to the S&P 500®, replacing H&R Block, Coty, and Kohl’s. The changes attracted significant market attention and sparked a discussion around the names being added to the index, as well as those that were not. These updates…
- Categories S&P 500 & DJIA
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- S&P 500 & DJIA
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What Are Large-Cap Active Managers Up To? A Look at Their Active Factor Bets Relative to the S&P 500 (Part II)
In a recent study published in the Financial Analysts Journal, Ang, Madhavan, and Sobczyk (2017)[1] highlighted that using regression-based factor loadings to measure managers’ factor exposures, even when conducted on a rolling basis, can be misleading due to excessively smoothed coefficients, given that active managers adjust their exposures dynamically. The authors argued that holdings-based attribution…
What Are Large-Cap Active Managers Up To? A Decomposition of Their Active Sector and Factor Bets (Part I)
The SPIVA U.S. Mid-Year 2017 Scorecard shows that the relative performance of actively managed domestic equities funds across large-, mid-, and small-cap segments has improved in recent months. For example, only 56.56% of large-cap equity managers underperformed the S&P 500® for the one-year period, whereas 84.62% underperformed the benchmark at mid-year 2016.[1] More importantly, when…
- Categories Equities
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- Equities
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