Tag Archives: Multi-Factor
Why Multi-Factor Indices in South Africa?
Burton Malkiel, author of the book A Random Walk Down Wall Street, asserted, “The facts suggest that successful market timing is extraordinarily difficult to achieve.”1 Multi-factor indices may be a way of ensuring you are “in the right place at the right time,” participating throughout market cycles without compromising timing or returns. The S&P DJI…
- Categories Factors
- Other Tags
Introducing the S&P SmallCap 600 QVML Top 90% Multi-Factor Index
For market participants seeking to measure small-cap, multi-factor equity premia with greater diversification and historically lower tracking error (TE), S&P DJI has recently launched the S&P SmallCap 600® Quality, Value, Momentum and Low Volatility (QVML) Top 90% Multi-Factor Index. In this blog, we will examine the index construction methodology, historic performance, sector composition and factor…
- Categories Factors
- Other Tags
S&P QVM Top 90% Indices: An Examination of the June 2022 Rebalance
This blog is the second in the quarterly blog series we recently introduced to provide transparency into rebalance adds and drops for our S&P Quality, Value & Momentum Top 90% Multi-factor Indices (S&P QVM Top 90% Indices). The S&P QVM Top 90% Indices seek to track constituents in the top 90% of their universe, ranked…
- Other Tags
Simplicity Yields Outperformance: The S&P 500 Low Volatility High Dividend Index
Last week, the S&P 500® officially entered a bear market, dropping more than 20% from its record close in January. However, not all equity indices suffered comparable losses, and one such example is the S&P 500 Low Volatility High Dividend Index. In fact, this index has outperformed by a wide margin so far in 2022….
A Closer Look at Indexing Equal Weight
How does indexing equal weight work in times of volatility and inflation? S&P DJI’s Craig Lazzara and Invesco’s Nick Kalivas discuss the key drivers behind equal-weight’s historical outperformance vs. the benchmark and what happens when equal weight is combined with factors and/or ESG.
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…
- Categories Factors
- Other Tags
- Categories
- Factors
- Other Tags
An Efficient, Rules-Based Approach to Factor Rotation
Explore how the design of the S&P 500 Factor Rotator Daily RC2 7% Index is helping democratize access to factor investing, providing a simple, rules-based blueprint for building dynamic factor strategies.
- Categories Factors, Strategy
-
Other Tags
dynamic rebalancing, factor investing, Factor Rotation, indexing, Indexing insurance, low volatility, multi-asset, risk control 2.0, S&P 500 Enhanced Value, S&P 500 Factor Rotator Daily RC2 7% Index, S&P 500 Factors, S&P 500 High Dividend, S&P 500 Low Volatility, S&P 500 Momentum, S&P 500 Quality, S&P Dow Jones Indices, U.S. Treasuries
- Other Tags
- dynamic rebalancing, factor investing, Factor Rotation, indexing, Indexing insurance, low volatility, multi-asset, risk control 2.0, S&P 500 Enhanced Value, S&P 500 Factor Rotator Daily RC2 7% Index, S&P 500 Factors, S&P 500 High Dividend, S&P 500 Low Volatility, S&P 500 Momentum, S&P 500 Quality, S&P Dow Jones Indices, U.S. Treasuries
S&P MAESTRO 5 Index: A Sophisticated Composition Designed to Simplify Risk Management
Get to know the S&P MAESTRO 5 Index, a diversified, multi-asset, multi-factor risk parity strategy designed to help investors hit the right notes across a range of market conditions.
- Categories Commodities, Equities, Factors, Fixed Income, Strategy
- Other Tags
- Categories
- Commodities, Equities, Factors, Fixed Income, Strategy
- Other Tags
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…
- Categories Factors
- Other Tags
- Categories
- Factors
- Other Tags
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….