Tag Archives: smart beta

Putting Defensive Indices to the Test

In January 2019, we highlighted several indices designed to reduce the impact of large equity market drawdowns. Here we analyze the same suite of indices divided across three broad categories: defensive equity, multi-asset, and volatility. This analysis simply reviews performance since the S&P 500®’s high on Feb. 19, 2020, through the close on Friday, March Read more […]

Profiling the “Personality” of 2 Dividend Strategies – A Factor Look: Part 2

What story is Optimal Asset Management’s Factor Allocator’s analysis trying to tell us?  First, it is important to note each strategy has a factor fit quality reading above 80% (the S&P 500 High Dividend Index – 83.72% and the S&P 500 Dividend Aristocrats – 87.62%) which means the analysis of factor exposures appears useful in Read more […]

Profiling the “Personality” of 2 Dividend Strategies – A Factor Look

How do the personalities of two dividend index portfolios look when reviewed under the “Factor Lens”? Using the Optimal Asset Management’s Factor Allocator tool, let’s review two strategies – S&P 500 Dividend Aristocrats and the S&P 500 High Dividend Index. We can identify the average factor exposures of each strategy since January 1995 by viewing Read more […]

The Quality Factor Beat the S&P 500 in 2019

In 2019, U.S. equities posted double digit gains, with the S&P 500® returning 31.49%—its best year since 2013 and second-best in a decade. This continued strong performance highlights the potential difficulty of beating the S&P 500.[1] The question then arises: what strategy (if any) outperformed the S&P 500 in 2019? Our latest S&P 500 Factor Read more […]

A Way of Seeing

A wise man told me years ago that sometimes the things we see are less important than our way of seeing.  As more formerly-active investors begin to use passive vehicles, it’s useful to consider if there’s a distinctly index-centric way of seeing, and what its elements might be.  I think that there are at least Read more […]

How Australian Dividend Investors Could Benefit from the Core-Satellite Approach

The core-satellite approach splits a portfolio into two parts: the main part, called the core, and a much smaller portion, called the satellite. The core generally consists of “boring” but steady long-term performance (often index funds tracking market portfolios), while the satellite can be anything that could complement the core with risk diversification, outperformance potential, Read more […]

Highlighting the S&P/BMV Index Series

The S&P/BMV Index Series combines the local market expertise of the Mexican Stock Exchange (the BMV) with the resources and reach of one of the most prominent independent global index providers, S&P Dow Jones Indices (S&P DJI). This productive collaboration officially began in May 2015 and adheres to international standards. The relationship also provides the Read more […]

Taking the Discretion out of Factor Selection: The S&P Economic Cycle Factor Rotator Index

Amid the turbulent markets of 2019, the S&P Economic Cycle Factor Rotator Index has been holding steady. The index rotates its allocation between four indices benchmarked to factors—momentum, value, quality, and low volatility—seeking to pick the relevant factor for each phase of the business cycle. The index uses a signal that is based off the Read more […]

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 Read more […]

What’s Inside the S&P China A-Share Factor Indices? Sector Allocation versus Stock-Selection Effect

After examining the risk factor exposure of the S&P China A-Share Factor Indices in our previous blog, we further explore the sector bias and associated impact on index performance. Apart from the S&P China A-Share Enhanced Value Index, all the S&P China A-Share Factor Indices tended to underweight the Financials sector,[1] though other unique sector Read more […]