Tag Archives: strategy indices
Introducing the S&P SmallCap 600 QVML Top 90% Multi-Factor Index
For market participants seeking to measure small-cap, multi-factor equity premia with greater diversification and historically lower tracking error (TE), S&P DJI has recently launched the S&P SmallCap 600® Quality, Value, Momentum and Low Volatility (QVML) Top 90% Multi-Factor Index. In this blog, we will examine the index construction methodology, historic performance, sector composition and factor…
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Rising Rates Revisited…
The prospect for and ramifications of rising interest rates have surfaced time and again in recent years. Whether and when the Fed will raise rates next is anyone’s guess. But as we’ve noted before, the correlation between higher interest rates and equity declines has grown tenuous in recent history. Since 1991, the S&P 500 has…
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In Search of the Low Volatility Anomaly
By now we’re very familiar with the oft discussed “Low Vol Anomaly”. Diverging from conventional finance theory, which tells us that risk and return are directly related, low volatility stocks have outperformed over time and, as expected, with lower volatility. Ample research and evidence point to the existence of a low volatility factor comparable to…
Valuing Low Volatility: Does Timing Matter?
If early January is any indication, 2016 should be another year when low volatility strategies will be in vogue. Popularized in the turmoil following the financial crisis in 2008, low volatility strategies, as the name denotes, serve well in times of equity upheaval. And despite bearing lower risk low volatility strategies have outperformed their benchmarks…
Practical Considerations for Implementing Alternate Beta Strategies
Recent financial crises have exposed the shortcomings of the traditional approach to asset allocation and have led an emerging shift, especially among institutional investors, towards dynamic asset allocation, hinged on the diversification across risk factors. While there are numerous research papers that explore this topic, they tend to be theoretical and it is for this…
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A Review of the S&P Global Intrinsic Value Index
The recently published research paper on S&P GIVI®: Factor Investing: A Review of the S&P Global Intrinsic Value Index analyzes in detail the source of GIVI returns globally and regionally. S&P GIVI is a multi-factor global index which provides exposure to low volatility and the value factors by removing 30% of the highest beta stocks…
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Beta, Smart and Dumb
The idea of “smart beta” is gaining increased acceptance, although not without some controversy. I have to confess that I really dislike the term “smart beta,” and not just because I didn’t invent it. “Alternative beta” I can live with, or “factor” indices, or “strategy” indices — but “smart” beta leaves me cold. Which is…