Tag Archives: Small Size

Oct 2, 2019

Berlinda LiuDirector, Global Research & DesignS&P Dow Jones Indices

Does Size Affect the Active versus Passive Score of Small-Cap Mutual Funds?

In my earlier blog, we explored the effect of size on active large-cap equity funds’ performance. We ranked all long-only active large-cap equity funds by their size at the beginning of the observation period and divided them into quartiles, with the first quartile being the largest and the fourth being the smallest. We found that,…

Categories Equities, Factors
Other Tags
active vs. passive, international small caps, S&P SmallCap 600, size

Categories
Equities, Factors

Other Tags
active vs. passive, international small caps, S&P SmallCap 600, size

Sep 30, 2019

Aye SoeManaging Director, Global Head of Product ManagementS&P Dow Jones Indices

Index Construction Matters in U.S. Small Cap

Market participants generally expect risk/return profiles to be similar across broad market indices representing the same universe. However, indices’ risk/return characteristics can vary substantially. As of Aug. 31, 2019, the S&P SmallCap 600® returned 10.21% per year since year-end 1993, while the Russell 2000 returned 8.53%. So why is there a substantial risk/return gap between…

Categories Equities, Factors
Other Tags
factors, S&P SmallCap 600, size, small-cap stocks, smart beta

Categories
Equities, Factors

Other Tags
factors, S&P SmallCap 600, size, small-cap stocks, smart beta

Indexology^® Blog
Contributors

Craig Lazzara Managing Director and Global Head of Index Investment Strategy

Kevin Horan Director, Fixed Income Indices

Tim Edwards Managing Director, Index Investment Strategy

Fei Mei Chan Director, Index Investment Strategy

Hamish Preston Associate Director, U.S. Equity Indices

Berlinda Liu Director, Global Research & Design

Phillip Brzenk Senior Director, Strategy Indices

Koel Ghosh Head of South Asia

Philip Murphy Managing Director, Global Head of Index Governance

Fiona Boal Head of Commodities and Real Assets

Aye Soe Managing Director, Global Head of Product Management

Howard Silverblatt Senior Index Analyst, Product Management

Anu Ganti Senior Director, Index Investment Strategy

Michael Orzano Senior Director, Global Equity Indices

Hong Xie Senior Director, Global Research & Design

Jim Wiederhold Associate Director, Commodities and Real Assets

Shaun Wurzbach Managing Director, Global Head of Financial Advisor Channel

Reid Steadman Managing Director, Global Head of ESG

Akash Jain Associate Director, Global Research & Design

Jamie Farmer Chief Commercial Officer

John Welling Director, Equity Indices

Jaime Merino Director, Asset Owners Channel

Maria Sanchez Associate Director, Global Research & Design

Ved Malla Associate Director, Client Coverage

Bill Hao Director, Global Research & Design

Jason Giordano Director, Fixed Income, Product Management

Tianyin Cheng Senior Director, Strategy Indices

Silvia Kitchener Director, Global Equity Indices, Latin America

Qing Li Director, Global Research & Design

Rupert Watts Senior Director, Strategy Indices

Priscilla Luk Managing Director, Global Research & Design, APAC

Liyu Zeng Director, Global Research & Design

Ben Leale-Green Senior Analyst, Research & Design, ESG Indices

Michael Mell Senior Director, Custom Indices

Stuart Magrath Senior Director, Channel Management, Australia and New Zealand

Izzy Wang Analyst, Strategy Indices

Brian Luke Global Head of Fixed Income Indices

Andrew Innes Head of EMEA, Global Research & Design

Mona Naqvi Senior Director, Head of ESG Product Strategy, North America

Smita Chirputkar Director, Global Research & Design

Louis Bellucci Senior Director, Index Governance

Arpit Gupta Senior Analyst, Global Research & Design

Rachel Du Senior Analyst, Global Research & Design

Sherifa Issifu Associate, Index Investment Strategy

Melody Duan Analyst, Global Research & Design

Craig Lazzara Managing Director and Global Head of Index Investment Strategy

Kevin Horan Director, Fixed Income Indices

Tim Edwards Managing Director, Index Investment Strategy

Fei Mei Chan Director, Index Investment Strategy

Hamish Preston Associate Director, U.S. Equity Indices

Berlinda Liu Director, Global Research & Design

Phillip Brzenk Senior Director, Strategy Indices

Koel Ghosh Head of South Asia

Philip Murphy Managing Director, Global Head of Index Governance

Fiona Boal Head of Commodities and Real Assets

Aye Soe Managing Director, Global Head of Product Management

Howard Silverblatt Senior Index Analyst, Product Management

Anu Ganti Senior Director, Index Investment Strategy

Michael Orzano Senior Director, Global Equity Indices

Hong Xie Senior Director, Global Research & Design

Jim Wiederhold Associate Director, Commodities and Real Assets

Shaun Wurzbach Managing Director, Global Head of Financial Advisor Channel

Reid Steadman Managing Director, Global Head of ESG

Akash Jain Associate Director, Global Research & Design

Jamie Farmer Chief Commercial Officer

John Welling Director, Equity Indices

Jaime Merino Director, Asset Owners Channel

Maria Sanchez Associate Director, Global Research & Design

Ved Malla Associate Director, Client Coverage

Bill Hao Director, Global Research & Design

Jason Giordano Director, Fixed Income, Product Management

Tianyin Cheng Senior Director, Strategy Indices

Silvia Kitchener Director, Global Equity Indices, Latin America

Qing Li Director, Global Research & Design

Rupert Watts Senior Director, Strategy Indices

Priscilla Luk Managing Director, Global Research & Design, APAC

Liyu Zeng Director, Global Research & Design

Ben Leale-Green Senior Analyst, Research & Design, ESG Indices

Michael Mell Senior Director, Custom Indices

Stuart Magrath Senior Director, Channel Management, Australia and New Zealand

Izzy Wang Analyst, Strategy Indices

Brian Luke Global Head of Fixed Income Indices

Andrew Innes Head of EMEA, Global Research & Design

Mona Naqvi Senior Director, Head of ESG Product Strategy, North America

Smita Chirputkar Director, Global Research & Design

Louis Bellucci Senior Director, Index Governance

Arpit Gupta Senior Analyst, Global Research & Design

Rachel Du Senior Analyst, Global Research & Design

Sherifa Issifu Associate, Index Investment Strategy