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Tag Archives: value

Jan 30, 2023

What Performance Reversals Suggest

Investment results in 2022 were distinctly different from those of the recent past. The S&P 500®, which had doubled in the three years between 2019 and 2021, fell by more than 18% last year, and Exhibit 1 shows that there were regime shifts among factor indices as well. The dominance of Value over Growth in…

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Jan 24, 2023

The Dow Jones Dividend 100 Indices Part 2: Strong Fundamentals and the Benefits of Diversification

In part one of this series, we highlighted how the stringent dividend sustainability and quality screens of the Dow Jones U.S. Dividend 100 Index and Dow Jones International Dividend 100 Index may have led to their outperformance in 2022 and other inflationary periods. In this installment, we will analyze the positive effects that these screens…

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Jan 20, 2023

The Dow Jones Dividend 100 Indices Part 1: A Focus on Dividend Sustainability and Quality

Looking back, 2022 was an impressive year for passive dividend indices, both with respect to performance and inflows on the back of rising interest rates. The Dow Jones U.S. Dividend 100 Index and Dow Jones International Dividend 100 Index were two of the standout performers, which may be due to their emphasis on strong fundamentals…

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Jan 17, 2023

Style, Size, and Skewness

Two of the biggest reversals of 2022 compared to 2021 were the outperformance of smaller caps and the outperformance of value compared to growth. Both of these factors helped drive the S&P 500® Equal Weight Index’s recovery last year, as well as a decline in market concentration. As sector and style exposures are not independent,…

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Jan 16, 2023

Contextualizing Style Shifts

The S&P U.S. Style Indices are designed to provide broad and exhaustive exposure to the market’s value and growth segments. Our index methodology bifurcates a parent index’s market capitalization into roughly equal portions on the third Friday in December, using six measures shown in Exhibit 1.  Although the composition of style indices changes every year,…

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Jan 11, 2023

Style Chicken or Sectoral Egg?

Anyone who has perused our S&P 500® Factor Dashboard for December 2022 (and it’s a shame if you have not) will recognize Exhibit 1 below. The horizontal axis represents the difference between the weighted average value and growth scores (at the beginning of 2022) for each of the 17 factor indices in our dashboard, while…

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Oct 17, 2022

Leadership of Canadian Value Indices

Introduction How have value- and growth-oriented strategies performed in the Canadian equity market in recent years, especially given the recent resurgence in value-oriented companies? Value investing is recognized as a well-known strategy that seeks to benefit from strength in fundamental characteristics of securities that might not be completely reflected in market prices, and it typically…

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Sep 22, 2022

Value’s Resurgence in the S&P/ASX 200

Those who implement style investing will have noticed a recent reversal of fortunes for the value approach following a long spell of underperformance. Since the inception of the S&P/ASX 200 Growth and S&P/ASX 200 Value in 2017, the back-tested approach has seen growth top value in 12 out of the past 17 calendar years. However,…

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Sep 12, 2022

The Power of Style

At some risk of oversimplification, the 16.1% decline in the S&P 500® for the first eight months of 2022 can be divided into three intervals, as the market fell by 20.0% through June, rallied in July, and then resumed its decline in August. This story, of course, is still evolving: for all we now know,…

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Aug 29, 2022

S&P U.S. Core Indices Mid-Year 2022: Analyzing Relative Returns to Russell

In Q2 2022, the S&P 500®, S&P MidCap 400® and S&P SmallCap 600® all fell about 15%, continuing the declines from Q1 as of June 30, 2022 (see Exhibit 1). The S&P 500 experienced its worst first half since 1970. Amid the challenging environment, the S&P U.S. Core and Style Indices have generally proved more…

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