Tag Archives: quality
The Dow Jones Dividend 100 Indices Part 2: Strong Fundamentals and the Benefits of Diversification
In part one of this series, we highlighted how the stringent dividend sustainability and quality screens of the Dow Jones U.S. Dividend 100 Index and Dow Jones International Dividend 100 Index may have led to their outperformance in 2022 and other inflationary periods. In this installment, we will analyze the positive effects that these screens…
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The Dow Jones Dividend 100 Indices Part 1: A Focus on Dividend Sustainability and Quality
Looking back, 2022 was an impressive year for passive dividend indices, both with respect to performance and inflows on the back of rising interest rates. The Dow Jones U.S. Dividend 100 Index and Dow Jones International Dividend 100 Index were two of the standout performers, which may be due to their emphasis on strong fundamentals…
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S&P U.S. Core Indices Mid-Year 2022: Analyzing Relative Returns to Russell
In Q2 2022, the S&P 500®, S&P MidCap 400® and S&P SmallCap 600® all fell about 15%, continuing the declines from Q1 as of June 30, 2022 (see Exhibit 1). The S&P 500 experienced its worst first half since 1970. Amid the challenging environment, the S&P U.S. Core and Style Indices have generally proved more…
- Categories Equities, S&P 500 & DJIA
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- Equities, S&P 500 & DJIA
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S&P U.S. Indices Mid-Year 2022: Analyzing Relative Returns to CRSP
The first half of 2022 saw supply chain disruptions, interest rate hikes amid rising inflation and geopolitical tensions sour sentiment, creating a complex environment for equity markets. The S&P 500® was down 20%, which represented the worst start of the year since 1970. What was the impact on other S&P DJI U.S. equity indices and…
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2022, core, Cristopher Anguiano, equities, Index Construction, index performance, Mid-Year 2022, performance comparison, S&P 500, S&P Composite 1500, S&P DJI U.S. equity indices, S&P MidCap 400, S&P SmallCap 600, S&P U.S. Indices, U.S., U.S. Core, U.S. Core Equities, U.S. Equities, United States, US FA
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- 2022, core, Cristopher Anguiano, equities, Index Construction, index performance, Mid-Year 2022, performance comparison, S&P 500, S&P Composite 1500, S&P DJI U.S. equity indices, S&P MidCap 400, S&P SmallCap 600, S&P U.S. Indices, U.S., U.S. Core, U.S. Core Equities, U.S. Equities, United States, US FA
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…
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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/
- Categories Factors, Strategy
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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, momentum, Passive, 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, momentum, Passive, 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…
- Categories Factors
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S&P SmallCap 600: A Pandemic Case Study
Index construction matters when seeking to understand differences in index characteristics and any resulting divergences in index performance. One of the clearest examples of the importance of index construction comes when comparing the S&P SmallCap 600® and the Russell 2000. Indeed, while both indices are designed to measure the performance of the small-cap U.S. equity…
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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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