Tag Archives: strategy

Why Did Dividend Indices Underperform during the Coronavirus Sell-Off?

Over the past 20 years, the S&P 500® experienced three bear markets with drawdowns greater than 30%—the 2000-2001 Tech Bust, the 2008 Global Financial Crisis (GFC), and the ongoing coronavirus sell-off. During both the Tech Bust and the GFC, various U.S.-focused dividend indices outperformed the S&P 500. However, during the coronavirus sell-off, most dividend indices Read more […]

Comparing Bottom-Up versus Top-Down Multi-Factor Construction

The S&P 500® Quality, Value & Momentum Multi-Factor Index is designed to measure the performance of stocks having the highest combination of quality, value, and momentum (QVM). It takes a “bottom-up” approach of scoring each stock on its individual factor attributes and selecting stocks that jointly score highest across all the factors [1]. In light Read more […]

What’s New in the S&P Risk Parity Indices Methodology?

Launched in August 2018, the S&P Risk Parity Indices were designed to be a transparent, passive alternative to active risk parity funds. The index series comprises several indices that are differentiated by volatility targets in an 8%-15% range. This blog compares the original and new methodologies. After consultations with stakeholders, S&P Dow Jones Indices has Read more […]

Have Inverse Indices Been Able to Provide the Hedge You Expected?

Since March 9, 2020, we have seen equities and bonds fall together. As bonds fail to provide the diversification benefit in the short term, some investors may choose to use inverse exchange-traded funds as short-term trading tools for an explicit hedge. Inverse strategies typically aim to replicate the daily performance of their underlying indices with Read more […]

Wash Your Hands of Market Timing with Risk Control

The market highs of February 2020 already seem like a strange, distant past, in which people socialized, worked in offices, and were blissfully unappreciative of their abundant supply of toilet paper. Life has changed. With that change, the S&P Europe 350® lost a third of its market capitalization in just a month. The market may Read more […]

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 […]

The Importance of Asset Class Diversification: A Performance Analysis of the S&P MARC 5% Index

Recent selloffs in the equity markets and a significant rise in volatility signal an end to the 11-year bull market (Bye Bye Bull Market: Reaction to Coronavirus). While most broad market domestic equity indices have declined, the performance of the S&P MARC 5% Index (ER) has held up (1.84%). The answer to its resiliency lies Read more […]

The Rising Importance of Dividends When Earnings Slow

Summary With Q3’s earnings season substantially complete, 2019 earnings for S&P 500 companies are expected to decline on a year-over-year basis. After several strong quarters last year, the first three quarters this year have seen marked earnings deceleration. Providing 1/3 of historical S&P 500 total returns, dividends could become important when the market may be Read more […]

SPIVA® U.S. Mid-Year 2019 Highlights

The SPIVA U.S. Mid-Year 2019 Scorecard was published recently. The report shows that the strong rally in the domestic equities market in the first half of 2019 did not necessarily translate into success for active managers. Active managers’ performance relative to the benchmark indices showed significant discrepancies in different market segments. For the one-year period Read more […]

Outperforming with Systematic Sector Bets Using the S&P 500 Sector Rotator Daily RC2 5% Index

Given the current market conditions, the popularity of strategies that rotate between factors or sectors, providing agility in their allocations with the goal of capturing outperformance in changing economic regimes, has increased considerably. One of these strategies is the S&P 500® Sector Rotator Daily RC2 5% Index. The index rotates between the top three sectors Read more […]