The S&P 500® Quality, Value & Momentum Multi-Factor Index is designed to measure the performance of stocks having the highest combination of quality, value, and momentum (QVM). It takes a “bottom-up” approach of scoring each stock on its individual factor attributes and selecting stocks that jointly score highest across all the factors [1]. In light Read more […]
There is a subtle but important distinction between factors and factor indices. “Factor” denotes an attribute with which long-term excess returns are thought to be associated. Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense. A number of other variables – prominently including momentum, low volatility, Read more […]
What story is Optimal Asset Management’s Factor Allocator’s analysis trying to tell us? First, it is important to note each strategy has a factor fit quality reading above 80% (the S&P 500 High Dividend Index – 83.72% and the S&P 500 Dividend Aristocrats – 87.62%) which means the analysis of factor exposures appears useful in Read more […]
How do the personalities of two dividend index portfolios look when reviewed under the “Factor Lens”? Using the Optimal Asset Management’s Factor Allocator tool, let’s review two strategies – S&P 500 Dividend Aristocrats and the S&P 500 High Dividend Index. We can identify the average factor exposures of each strategy since January 1995 by viewing Read more […]
Amid the turbulent markets of 2019, the S&P Economic Cycle Factor Rotator Index has been holding steady. The index rotates its allocation between four indices benchmarked to factors—momentum, value, quality, and low volatility—seeking to pick the relevant factor for each phase of the business cycle. The index uses a signal that is based off the Read more […]
Readers of this morning’s Wall Street Journal learned (on the front page, no less) that many of the largest investors in the U.S. equity market hold similar portfolios. “The overlap in the top 50 stockholdings between mutual funds and hedge funds…now stands at near-record levels, a study by Bank of America Merrill Lynch found.” An Read more […]
In our previous blog, our studies indicated that most factor indices in China exhibited distinct return characteristics during up and down markets. To understand the sources that drive differential factor performance, we examined the risk factor exposures and factor impact on the performance of S&P China A-Share Factor Indices[1] based on the Axioma AXCN4-MH China Read more […]
The start of 2019 marks not only the 10th anniversary of S&P Dow Jones Indices in Dubai, but also the expansion of our single- and multi-factor index series into the Gulf Cooperation Council (GCC) region. Our current suite of single factor indices, including those covering low volatility, momentum, enhanced value, and quality factors, are now 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 […]
We’ve recently noted that this month’s market turmoil created a radical reversal of factor returns, poking holes in this year’s momentum bubble. A similar trend has occurred within sectors. During the first nine months of 2018, Consumer Discretionary and Info Tech dominated performance, as seen in Exhibit 1. For the first two weeks of October, Read more […]
