Tag Archives: momentum
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/
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2022, Active, Active vs. Passive, alternate beta, alternative beta, Anu Ganti, beta, Core Factor PM, Core Factors, Craig Lazzara, dividend growth, Factor, high beta, Index Investment Strategy, low volatility, Passive, quality, risk management, Risk Premia, S&P 500 Factors, S&P Dow Jones Indices, SPIVA, U.S. equities
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- 2022, Active, Active vs. Passive, alternate beta, alternative beta, Anu Ganti, beta, Core Factor PM, Core Factors, Craig Lazzara, dividend growth, Factor, high beta, Index Investment Strategy, low volatility, Passive, quality, risk management, Risk Premia, S&P 500 Factors, S&P Dow Jones Indices, SPIVA, U.S. equities
S&P QVM Top 90% Indices: Looking under the Hood of the March 2022 Rebalance
Since their launch in April 2021, the S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the “S&P QVM Top 90% Indices”) have been a great addition to our multi-factor lineup. These indices are designed to track companies in the top 90% of their respective underlying index universe, ranked by their multi-factor score. To support…
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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…
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Breaking the Market Cap Weight with an Index
When people talk about indexes, they are usually referring to market-cap weighted indexes. Market-cap weighting is based on price and outstanding number of shares. One simply takes the number of shares outstanding and multiplies them by the share price to arrive at market cap. This calculation results in the biggest companies commanding the largest weights….
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Investing in Real Estate: Global Diversification using a Quantitative Rules-Based Index
A question… Take five major asset classes: U.S. stocks, international stocks, long-term government bonds, Treasury Bills, and REITs. If their respective compound rate of return over the past two decades is compared, which would come in highest? Stocks? Maybe bonds as they’ve ridden yields down to near zero? Nope. REITs win the day. If returns…
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Introducing the S&P QVM Top 90% Multi-factor Indices
Earlier this year, S&P DJI launched three S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the “S&P QVM Top 90%” Indices) across our large-cap, mid-cap, and small-cap universes. Each of these indices is tracked by an ETF. Compared to S&P DJI’s other flagship multi-factor indices, this new series represents a differentiated approach to multi-factor…
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Examining a Custom Approach to Factors
How does viewing companies through the prism of price-to-sales influence risk/return? Explore a systematic approach to indexing factors with a focus on valuations with Justin Lowry, President and Chief Investment Officer at Global Beta Advisors and S&P DJI’s Michael Mell.
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Using Market Fluctuations to Unlock Opportunity
Volatility often represents uncertainty, but it could also signal opportunity. Take a closer look at how the systematic design of the S&P 500 Dynamic Participation Index may help market participants identify and reflect potential opportunities inside the daily price fluctuations of the S&P 500.
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A Different Kind of Bubble
Information Technology was the top-performing sector in 2020, up 44%, while Momentum (up 28%) was the second best-performing factor. These two results are reminiscent of the bubble we experienced two decades ago. But the Tech sector of today is not your father’s Tech sector. Similarly, we can analyze the market from a factor perspective and…
The S&P Global REIT QVM Multi-Factor Index Part II – Performance, Country Composition, and Factor Exposure
In the previous blog, we introduced the construction process of the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. In this blog, we look into the empirical results of the strategy. Performance Rebasing the two indices to 100 on June 30, 1999, the S&P Global REIT QVM Multi-Factor Index reached 999.42 on Aug….