Tag Archives: strategy
Performance Update of the S&P/TSX Capped REIT Income Index
Introduced in April 2017, the S&P/TSX Capped REIT Income Index is designed to serve as an income-producing Canadian REIT strategy by overweighting REITs with higher risk-adjusted income distribution yields. The Canadian REIT sector experienced a boom prior to the onset of the pandemic as the index peaked1 on Feb. 20, 2020, its then-highest value since…
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Risk Parity 2.0 Performance Review
In our two previous blogs on risk parity 2.0 (see here and here), we covered the philosophy and methodological differences between the original S&P Risk Parity Indices and the newly launched S&P Risk Parity 2.0 Indices. This third and final installment of this series now looks at the performance and attribution statistics of the S&P…
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S&P Risk Parity 2.0 Index Methodology Highlights
This blog is the second in a three-part series introducing the S&P Risk Parity 2.0 Indices. The first blog highlighted the differences between these new indices and the original ones. In this installment, we will take a closer look at the methodology of the newly launched S&P Risk Parity 2.0 Index Series. Constituent Changes Incorporating…
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The S&P Dividend Growers Indices: Examination of Risk, Return and Down-Market Performance
This blog, the final in a series of three, reviews the performance of the new S&P Dividend Growers Indices and highlights some of their defensive characteristics. They are designed to track companies with consistently increasing dividends while excluding the top 25% highest-yielding eligible companies. Only companies that increase dividends consecutively for at least 10 and…
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Introducing the S&P QVM Top 90% Multi-factor Indices
Earlier this year, S&P DJI launched three S&P Quality, Value, and Momentum Top 90% Multi-factor Indices (the “S&P QVM Top 90%” Indices) across our large-cap, mid-cap, and small-cap universes. Each of these indices is tracked by an ETF. Compared to S&P DJI’s other flagship multi-factor indices, this new series represents a differentiated approach to multi-factor…
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The S&P Systematic Global Macro Index – Trending to New Highs
The S&P Systematic Global Macro Index (S&P SGMI) is a trend-following strategy that takes long or short positions in 37 constituent futures across equites, commodities, fixed income, and FX. In 2020, the S&P SGMI did particularly well during the COVID-19-related drawdowns, finishing March up 11.3%, and closing the year at an all-time high. Thus far…
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S&P Risk Parity Indices Significantly Outperform the Manager Composite in 2020
Plagued by the novel coronavirus pandemic and election uncertainty, 2020 was a year that many are happy to forget. Nonetheless, the S&P 500® finished strong, up 12.15% for the fourth quarter and 18.40% for the year, driven largely by newly developed vaccines and aggressive economic stimulus measures. In the fourth quarter, yields on the U.S….
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Holding Steady…
The market has recovered most of the losses from March’s uproar, with the S&P/TSX Composite Index down 4.8% in 2020 through Sept. 17. Volatility, though off its March peak, continues to be high but has been evenly distributed across all sectors of the market. Since all sectors experienced similar increases in volatility, it’s not surprising…
The S&P Global REIT QVM Multi-Factor Index Part II – Performance, Country Composition, and Factor Exposure
In the previous blog, we introduced the construction process of the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. In this blog, we look into the empirical results of the strategy. Performance Rebasing the two indices to 100 on June 30, 1999, the S&P Global REIT QVM Multi-Factor Index reached 999.42 on Aug….
The S&P Global REIT QVM Multi-Factor Index Part I – Strategy Construction Process
In this blog (and in a subsequent post), we will introduce the S&P Global REIT Quality, Value & Momentum (QVM) Multi-Factor Index. This index integrates individual quality, value, and momentum factor scores into one composite and is designed to capture multi-factor equity premia. In essence, the strategy seeks to include companies with the following characteristics:…