Tag Archives: small caps
The S&P SmallCap 600 – A Sector-Led Bounce Back
For over 11 years, S&P Dow Jones Indices has been exploring the long-term, persistent outperformance of the S&P SmallCap 600® relative to the Russell 2000. As shown in Exhibit 1, the S&P 600TM has outperformed the Russell 2000 by 1.70% on an annualized basis from Dec. 31, 1994, to Sept. 30, 2021. The S&P 600…
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U.K. Small Caps: Mind the Gap!
A gap between the 12-month performances of the S&P United Kingdom SmallCap and S&P United Kingdom SmallCap Select Index hints at a “junk rally” in U.K. stocks, but the longer-term data suggests that those looking to participate in an ongoing recovery in the world’s fourth-largest economy might be wise to maintain a selective approach. As…
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2021, IIS, Index Construction, Index Investment Strategy, institutional investor, investability, liquidity, profitability, S&P United Kingdom, S&P United Kingdom BMI, S&P United Kingdom SmallCap, S&P United Kingdom SmallCap Select, S&P United Kingdom SmallCap Select Index, Sherifa Issifu, size, smallcap, Smallcap Select, U.K., U.K. equities, United Kingdom
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- 2021, IIS, Index Construction, Index Investment Strategy, institutional investor, investability, liquidity, profitability, S&P United Kingdom, S&P United Kingdom BMI, S&P United Kingdom SmallCap, S&P United Kingdom SmallCap Select, S&P United Kingdom SmallCap Select Index, Sherifa Issifu, size, smallcap, Smallcap Select, U.K., U.K. equities, United Kingdom
A Reversal, or Two
For many equity investors, the stand-out theme of last year was the reversal in the market’s initial response to, and recovery from, the COVID-19 pandemic: the dramatic price declines in March, the wild swings around the bottom as VIX® marked its highest closing level ever, and the just-as-dramatic recovery to new all-time highs by late…
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Dissecting Performance Characteristics of Growth Factors in Australian Small-Cap Equities
In our previous blog, we suggested growth factors with longer lookback periods may be more effective for constructing growth factor portfolios in Australian small-cap equities. In this blog, we examine the performance cyclicality, factor exposure, risk/return decomposition, and factor correlation for the long-term growth factor portfolios.1 From April 20, 2001, to June 30, 2020, the…
Profitability, Liquidity, and Investability: The Key Drivers of Long-Term Outperformance of S&P SmallCap 600® versus Russell 2000
The S&P 600TM has outperformed the Russell 2000 since its launch in 1994. From Dec. 31, 1994, to Aug. 30, 2020, the S&P SmallCap 600 had an annualized return of 11.77% (with an annualized volatility of 18.96%) versus the Russell 2000’s annualized return of 10.49% (with an annualized volatility of 19.70%). The historical performance divergence…
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Examining Small-Cap Growth Strategies in Australia
Many market participants invest in small-cap equities seeking high-growth potential and portfolio diversification. In this blog, we will examine how growth factors performed in Australian small-cap equities by measuring the hypothetical top-quintile portfolio returns for three growth factors with long- and short-lookback periods, including 12- and 6-month price momentum, 3- and 1-year earnings growth, and…
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SPIVA U.S. Year-End 2019 Scorecard: Active Funds Continued to Lag
2019 was a remarkable year for risky assets. All benchmarks tracked in the SPIVA U.S. Year-End 2019 Scorecard delivered positive returns. Information Technology-heavy and more internationally diversified companies of the S&P 500® pushed the index to its second- and fourth-highest annual return since 2001 and 1990, respectively. In addition, the S&P MidCap 400® (26.2%) and…
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Playing Defense with Profitability Screening in Australian Small Caps
In our research paper titled, Profitability Screening in Australian Small Caps, we examined the effectiveness of a profitability screen on improving return as well as reducing volatility and drawdown for Australian small-cap stocks. Adhering to these principles, the S&P/ASX Small Ordinaries Select Index was launched on Dec. 21, 2018, to track profitable small-cap companies in…
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Factor Analysis of U.S. Small-Cap Benchmarks
We recently published the 10-year anniversary edition of the paper “A Tale of Two Small-Cap Benchmarks,” which gives insight into why the S&P SmallCap 600® outperformed the Russell 2000, historically.[1] Our latest paper also showed that, in the period from Dec. 31, 2002, to Dec. 31, 2018, profitable companies typically outperformed unprofitable companies in the…
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The Case for Positive Earnings Criteria in International Small-Cap Benchmarks
We recently published a research paper, “Building Better International Small-Cap Benchmarks,” offering a comprehensive look at the recently launched S&P Global SmallCap Select Index Series. These indices are designed to measure the performance of small-cap companies with positive earnings. Why incorporate positive earnings criteria into small-cap benchmarks? The initial foundation stems from two prior studies[1],[2];…
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