Tag Archives: smart beta
Value Vulnerabilities
Value has experienced a dramatic reversal in 2022, with the S&P 500® Value outperforming the S&P 500 Growth by 20% on a YTD basis as of May 25, 2022. Although one might expect this outperformance to be a boon for value managers, the data may indicate otherwise. A majority of active large-cap value managers outperformed…
- Categories Factors
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- Factors
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A Reliable Strategy in Unreliable Times
Try as one might, it is hard not to notice the woes of equities this year. Through May 19, 2022, the S&P 500® has declined 18%, losing 9% in the last three months alone. This pain was felt across most sectors of the index, with only Consumer Staples, Energy, and Utilities in positive territory for…
- Categories Factors, S&P 500 & DJIA
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Holding Period Returns
What is the appropriate observational period for evaluating an investment strategy? This question is important, because different observational periods can produce different conclusions. For example, for the first 11 weeks of 2022, one of our better-performing factor indices has been the S&P 500® Low Volatility Index. Through March 18, 2022, Low Vol had declined 4.7%,…
Canadian Equities Offer Some Solace amid World Turmoil
Despite global geopolitical tensions, Canadian equities, in contrast to U.S. equities, seem to be faring well. Since its rebalance on Dec. 17, 2021, the S&P/TSX Composite gained 5.7% (through March 17, 2022). It was no surprise that the S&P/TSX Composite Low Volatility Index lagged—what was surprising was that it lagged by 1.3%, rising 4.4% over…
Two Volatile Sectors
Since the last rebalance for the S&P 500® Low Volatility Index on Nov. 19, 2021, the market has experienced gyrations not seen since February 2021. The S&P 500 declined 6.44% since the November rebalance, with daily changes of greater than 1% almost half (44%) of the time. Low volatility strategies are designed to smooth out…
- Categories Factors
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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…
- Categories Factors
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Information Technology Has Evolved to Become a Consistent Presence in the S&P 500 Low Volatility Index
Equities in 2021 had a slow start, but as December approaches it looks to be another stellar year. Through Nov. 18, 2021, the S&P 500® was up 27%. For a strategy that is explicitly designed to mitigate risk, the S&P 500 Low Volatility Index’s year-to-date gain of “only” 17% is well within the range of…
- Categories Factors
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Chugging Along
In the last three months, the Canadian equity market climbed another three percentage points, bringing the S&P/TSX Composite Index up to an impressive 20.4% YTD through Sept. 16, 2021. In a strong bull market environment, low volatility indices are expected to lag—and they typically have. But overall, the S&P/TSX Composite Low Volatility Index has held…
- Categories Factors
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Stalwarts Continue to Increase Presence in the S&P 500 Low Volatility Index
If the equity market’s report card so far in 2021 is any indication, it’s on track to be another stellar year. Through Aug. 19, 2021, the S&P 500® is up 17%. The gains were achieved steadily; apart from January, the benchmark has been up every month in 2021. Predictably, in such an environment the S&P…
- Categories Factors
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Managing and Planning through Uncertain Times from an FA Perspective
In March 2021, we facilitated a discussion during S&P DJI’s virtual event with two financial advisors from Australia and Canada and an NZX representative who works closely with FAs in New Zealand. We asked them to reflect on the past year and how they pivoted with the onset of the Covid-19 pandemic. Andrew Neatt, TD…