Tag Archives: US FA
Persistently Disappointing
If you’ve ever read a prospectus (or, for that matter, an S&P DJI research report), you know that “past performance is no guarantee of future results.” At one level, if you understand that, you understand the most important thing about S&P DJI’s Persistence Scorecards. For the U.S., Europe, Latin America, and Canada (with Australia coming…
- Categories Equities, S&P 500 & DJIA
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The Best of Both Worlds: Sustainability in Sectors
Sector-based approaches have historically shown they can be valuable for diversification, among other investor goals, but, until now, sustainability-inclined investors have been presented with limited options. With the recent creation of the S&P ESG Enhanced Sector Indices and the subsequent licensing of the Information Technology, Energy, Financials, and Health Care indices for a select range…
- Categories ESG
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Equally Weighting within Sectors: Impact and Potential Applications
The outperformance of equal weight indices is well documented, especially for the S&P 500® Equal Weight Index’s 20 years of live history. Equal Weight’s relative returns reflect the impact of several important index characteristics. For example, smaller-size exposure and (anti-) momentum effects together account for around 75% of the historical variation of its relative returns….
The Same, Only Different
In the first quarter of 2023, the best performing of the 17 factor indices featured in our monthly factor dashboard was S&P 500® High Beta (up 12.5%), while the worst performer was S&P 500 Momentum (-3.2%). This may seem odd at first blush, since both indices are, in some sense, performance chasers—Momentum in absolute and…
SPIVA and the Challenges of Active Outperformance
What are the three main reasons it’s hard for most active managers to beat their benchmarks? Explore findings from the SPIVA and Persistence Scorecards with S&P DJI’s Craig Lazzara including an allegorical look at what might happen if Craig challenged Michael Jordan to a free-throw shooting contest.
- Categories Equities
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Unwisely Concentrated
Anyone familiar with our SPIVA Scorecards will recognize that most active managers fail most of the time. Anyone familiar with active managers will recognize that they can be quite creative in proposing both excuses and remedies for this historical record. One of their most persistent suggestions, in fact, is that active management simply isn’t active…
- Categories Equities, S&P 500 & DJIA
- Other Tags
Examining Passive Performance at the Core
How does indexing work for large-cap equities? S&P DJI’s Hamish Preston and State Street Global Advisor’s Michael Arone take a closer look at lessons from 20 years of SPIVA, including fee savings, outperformance, and what the latest GICS® changes mean for sectors and industries moving forward.
- Categories Equities
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Revenue-Weighted Indices: An Alternative to Core Equities
As persistently high inflation, high interest rates and geopolitical risks continue to dominate the macro environment, the S&P 500® Revenue-Weighted Index, S&P MidCap 400® Revenue-Weighted Index and S&P SmallCap® 600 Revenue-Weighted Index have outperformed their corresponding float-adjusted market-capitalization (FMC) weighted indices by more than 5% during the past one-year period (see Exhibit 1). In this…
- Categories Factors
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What Drives S&P 500 Rebalance Turnover?
The S&P 500® undergoes quarterly updates—more colloquially known as rebalances—after the close of the third Friday in March, June, September and December. These updates typically affect the S&P 500’s composition and have turnover implications for investors tracking the index. For example, Exhibit 1 shows the S&P 500 turnover at each rebalance between March 1995 and…
- Categories S&P 500 & DJIA
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- Categories
- S&P 500 & DJIA
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Indexing Bond and Commodity Markets in the World of the Upside Down
In the 80s nostalgia Netflix hit series “Stranger Things,” the town of Hawkins is haunted by an alternate world beneath. The protagonists battle monsters in what they call the upside down. For the first few seasons, the upside down wreaks havoc on just a few residents of Hawkins. By the last season, no one is…
- Categories Commodities, Fixed Income
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