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Tag Archives: US FA

Jan 13, 2022

S&P 500 Twitter Sentiment Indices: Factor Analysis

We previously introduced the S&P 500 Twitter Sentiment Indices and analyzed their performance characteristics. We noted how the indices seek to capture the Tweet-based sentiment premium, with their differentiated performance being driven by differences in index construction and sector weighting. In this blog, we will examine their exposure to standard risk factors and analyze their…

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Jan 12, 2022

No Safe Harbor for Stockpickers

We can use volatility and its components dispersion and correlation to analyze stock selection conditions globally. Most active managers run less diversified, more volatile portfolios than their index counterparts. Active managers should prefer above-average dispersion because stock selection skill is worth more when dispersion is high. The role of correlation is more subtle. While counterintuitive,…

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Jan 10, 2022

S&P 500 Twitter Sentiment Indices: Performance Characteristics

In a previous blog, we introduced the S&P 500® Twitter Sentiment Index and the S&P 500 Twitter Sentiment Select Equal Weight (EW) Index, highlighting their objective and construction. At the core of these indices is a model-based sentiment score that captures the direction and magnitude of the sentiment associated with a given company. S&P DJI…

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Jan 4, 2022

Focusing on Factor Indices

Factor indices have two important uses. First, they can be used as benchmarks to help clients of specialist managers disentangle how much of the manager’s performance is attributable simply to factor exposure, and how much is attributable to the manager’s stock selection beyond the factor. Second, factor indices can be used as investment vehicles to…

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Dec 20, 2021

Active Management: Naughty or Nice?

The history of active investment management is, for the most part, a history of failure and frustration. Most active managers underperform most of the time, and success in one period seems not to predict subsequent success. We have long argued that active underperformance is not coincidental—it happens for identifiable and understandable reasons, and is therefore…

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Dec 2, 2021

Alpha, Omicron: Why?

Over the past week, global financial markets have been roiled by the discovery of the “Omicron” COVID-19 mutation. It’s far too soon to know how much this new variant will impact the world’s economy—but its discovery suggests an interesting thought experiment in, of all things, corporate governance. The experiment is this: suppose Omicron turns out…

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Nov 19, 2021

Information Technology Has Evolved to Become a Consistent Presence in the S&P 500 Low Volatility Index

Equities in 2021 had a slow start, but as December approaches it looks to be another stellar year. Through Nov. 18, 2021, the S&P 500® was up 27%. For a strategy that is explicitly designed to mitigate risk, the S&P 500 Low Volatility Index’s year-to-date gain of “only” 17% is well within the range of…

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Nov 18, 2021

Introducing the S&P 500 Twitter Sentiment Index Series

We are excited to introduce a new index series utilizing sentiment—the S&P 500® Twitter Sentiment Index Series, which adds another dimension to the way we measure broad U.S. equities. Over the past few years, social media has evolved to encompass commentary about stocks and financial markets. As the technology has improved, these views are now…

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Nov 16, 2021

No Time to Thrive

S&P DJI has just released the final regional edition of our S&P Index Versus Active (SPIVA®) Mid-Year 2021 Scorecards. The semiannual reports cover the performance of actively managed funds in the U.S., Canada, Latin America, Europe, South Africa, India, Japan, Australia, and our newest regional addition, the Middle East and North Africa (MENA). SPIVA Scorecards…

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Nov 16, 2021

Can Equal Weight ESG Indices Pull Their Weight?

Research has shown that equally weighted indices have historically posted long-term outperformance1 over their benchmarks—largely driven by their exposures to small size and value along with associated risk premia, in addition to a healthy dose of concentration reduction.2 However, in accessing compensated factors and reducing concentration, the S&P 500® Equal Weight Index could elicit some…

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