Tag Archives: S&P 500

The S&P Composite 1500®: An Efficient Measure of the U.S. Market

The S&P 1500 serves as both a benchmark indicator for U.S. equity market performance and as a basis for passively replicating investment products that aim to deliver a “market” return.  Our new paper examines the index from both these perspectives, and compares the S&P 1500 with other U.S. equity market indices.  Here are a few Read more […]

A Changed World

The world looks much different than it did three months ago. Since then equities hit their all-time peak, entered a bear market, exited a bear market, and currently sit 15% off peak with sustained higher volatility levels. The latest rebalance for the S&P 500 Low Volatility Index®, effective after the close of trading today, rotated Read more […]

Factors and Factor Indices

There is a subtle but important distinction between factors and factor indices.  “Factor” denotes an attribute with which long-term excess returns are thought to be associated.  Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense.  A number of other variables – prominently including momentum, low volatility, Read more […]

S&P 500 Dividend Futures: Divining Time To Recovery

In 2019, the S&P 500® companies in aggregate paid a record $485 billion in dividends.  This year, the figure could be closer to $415 billion, and it could be another seven years before they recover to 2019 levels, according to futures prices.  Dividend futures, that is. Index futures based on the level of the S&P Read more […]

Two Sides of Volatility

I was recently asked whether volatility was particularly challenging for index fund owners or for active investors.  The answer is “yes.” For index funds, the challenge arises because rising volatility typically accompanies poor returns.  Between 1991 and 2019, e.g., months in which the S&P 500’s volatility was above median averaged modestly negative total returns.  In Read more […]

The Defensive Advantage

A wise man told me years ago that there are some things you can’t get if you go after them directly.  If you’ve ever watched someone trying to sound interesting, you’ll realize the truth of my friend’s observation.  There are plenty of interesting people out there, of course, but they achieve that status by pursuing Read more […]

The S&P 500 Quality Index: Attributes and Performance Drivers

COVID-19 driven volatility has caused market participants to refocus on defensive strategies. As investors turned to quality, the S&P 500® Quality Index demonstrated better downside protection and outperformed. Furthermore, it offered a sizable dividend yield of 2.2%. This analysis investigates attributes of the index. Breaking Down Components From all-time highs on Feb. 19, 2020, to Read more […]

Performance Trickery, part 3

Success is hard to come by for active managers, as readers of our SPIVA reports know well.  Sometimes what appears to be stock selection skill is in fact simply a byproduct of style drift across the capitalization scale. A majority of large-cap active managers outperformed the S&P 500 only 3 times in 19 years of Read more […]

Fantasies from a Dividend Perspective

Q1 2020 ended with record dividend payments for S&P 500® issues, as shareholders reaped the benefits of a 10-year bull market. March 2020 (and the first six trading days of April 2020), however, gave a glimpse of what Q2 2020 may look like, as dividend cuts and suspensions started to be announced, with suspensions more Read more […]