Tag Archives: tracking error
Maintaining Low Tracking Error: The Construction of the S&P 500 ESG Index
When it comes to integrating environmental, social and governance (ESG) factors into investment strategies, market participants may be interested in deviations from the benchmark. Tracking error is a widely used metric that helps measure the size of these deviations. Improving the ESG profile of a composition often means accepting a higher tracking error due to…
- Categories Sustainability
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Recalled to Life: The S&P SmallCap 600’s Persistent Outperformance after the Russell Reconstitution
S&P DJI’s paper, A Tale of Two Benchmarks (first published in in 2009 and later updated in 2015 and 2019), showed that the S&P SmallCap 600® has structurally outperformed the Russell 2000, primarily benefiting from S&P DJI’s index inclusion criteria for profitability, liquidity, and public float. The paper also delves deeper into several secondary attribution…
- Categories Equities
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Active Share: Not Necessary, and Definitely Not Sufficient
The concept of active share was introduced several years ago as a measure of the degree to which a portfolio of stocks differs from its benchmark. One of the intriguing results of the initial research on active share was that high active share managers seemed more likely to outperform than low active share managers. This led, predictably…
- Categories Equities, S&P 500 & DJIA, Strategy
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