Tag Archives: quality

Using GARP Strategies for Indices Part III – Risk and Return

In this blog, the third in our introduction to Growth at a Reasonable Price (GARP) strategies, we look at risk and return. The main objective of the S&P 500® GARP Index is to capture the performance of growth stocks with relatively high quality and value composite scores over a long-term investment horizon. Historically, the GARP Read more […]

Positioning for Market Volatility Using Passive Strategies

Fluctuating periods of “risk-on” and “risk-off” mean that spikes in equity market volatility and large drawdowns are increasingly common in today’s economy. Exhibit 1 shows events throughout the current market cycle causing notable rises in volatility and large drawdowns. With more of these likely in the future, as our long bull market cycle ages, how Read more […]

Finding Better Beta in the International Small-Cap Markets

S&P Dow Jones Indices recently launched the S&P Global SmallCap Select Index Series.  These indices aim to provide broad market exposure to small-cap equities around the world that have a track record of generating positive earnings. As prior S&P DJI research highlighted, the S&P SmallCap 600® outperformed the Russell 2000 by around 2% on an Read more […]

Introducing the S&P GCC Factor Indices

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 […]

Combining the Quality Factor With Dividend Yield: A Study of S&P DJI Dividend Strategies

As of Dec. 31, 2018, the passive implementation of dividend strategies measured approximately USD 141 billion based on assets under management (AUM) of dividend-focused ETFs listed in the U.S. This is a staggering amount considering that only 10 years ago the AUM amounted to just over USD 6 billion.[1] The growth in assets, as well Read more […]

Performance Attribution of the S&P 500® Quality Index

The past two months saw bouts of market volatility, which in turn is causing market participants to refocus on defensive equity strategies. Quality, together with other defensive factors such as low volatility, has a higher degree of downside protection compared with other risk factors like value or momentum. For example, during months in which the Read more […]

Measuring Earnings Quality – Balance Sheet Accruals Ratio Versus Earnings Variability

The balance sheet accruals ratio (BSA)[1] is widely used in the investment community to measure earnings quality.[2] This is in part due to accruals being perceived as transient and subject to considerable estimations, manipulations, and potential misrepresentations.[3] BSA is one of the three quality metrics used in the S&P Quality Index Series. We define BSA Read more […]

Combining the Quality Factor With Carbon-Efficient Portfolios – A Higher Quality Tilt With a Lower Carbon Footprint

In a previous blog, we highlighted that carbon-efficient firms tended to be high-quality companies. Moreover, integrated quality + carbon-efficiency hypothetical portfolios tended to have higher risk-adjusted returns and were more carbon efficient than the underlying benchmark. In this blog, we look into the risk and return characteristics of those hypothetical portfolios. This exercise helps us Read more […]

The S&P 600 Escapes Suffocation From Q4 Benchmark Hugging

Small caps are outperforming large caps significantly in 2018, mainly from the tax cuts, growth,  strong dollar and concern about international trade.  This has driven the S&P 600 (TR) 8.4% higher than the S&P 500 (TR) (year-to-date through Aug.31, 2018,) measuring the 5th biggest small cap premium in history since 1995, and is the biggest Read more […]

One Big Problem In July For One Small Cap Index

Much attention has been drawn to small caps by top tier media since the small cap premium is now the biggest in eight years and the fifth biggest in history. The outperformance of the small cap stocks versus the large caps is being driven by the current economic environment of growth, rising interest rates, inflation and Read more […]