Tag Archives: value

Sep 15, 2020

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….

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Sep 14, 2020

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:…

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Aug 6, 2020

What’s inside the S&P DJI Australian Factor Indices?

In our paper, How Smart Beta Strategies Work in the Australian Market, our studies indicated that most factor indices in Australia exhibited distinct return characteristics during up and down markets. Indeed, different factor indices also displayed unique style and industry factor exposures, resulting in factor index performance differentials over the long term. In this blog,…

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Jul 8, 2020

Indices Made Remarkable Recovery in Q2

After a volatile start to 2020, many investors were looking at double digit declines and were probably re-evaluating their 2020 expected returns. But while COVID-19 continued to determine market sentiment, Q2 hosted a remarkable recovery.  The S&P 500 (+20.54%) and the S&P MidCap 400 (+24.07%) posted their highest quarterly total returns since 1998, while the…

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Jun 18, 2020

Not that wrong

Stock markets continue to rally globally, ascending a wall of poor economic data and significant negative sentiment.  Concern that current price levels are unjustifiable is widespread: 78% of respondents to the most recent Bank of America Global Fund Manager Survey believe that the market is overpriced, the highest level since the survey began in 1998. …

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May 13, 2020

Comparing Bottom-Up versus Top-Down Multi-Factor Construction

The S&P 500® Quality, Value & Momentum Multi-Factor Index is designed to measure the performance of stocks having the highest combination of quality, value, and momentum (QVM). It takes a “bottom-up” approach of scoring each stock on its individual factor attributes and selecting stocks that jointly score highest across all the factors [1]. In light…

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May 12, 2020

Factors and Factor Indices

There is a subtle but important distinction between factors and factor indices.  “Factor” denotes an attribute with which long-term excess returns are thought to be associated.  Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense.  A number of other variables – prominently including momentum, low volatility,…

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Apr 6, 2020

SPIVA U.S. Year-End 2019 Scorecard: Active Funds Continued to Lag

2019 was a remarkable year for risky assets. All benchmarks tracked in the SPIVA U.S. Year-End 2019 Scorecard delivered positive returns. Information Technology-heavy and more internationally diversified companies of the S&P 500® pushed the index to its second- and fourth-highest annual return since 2001 and 1990, respectively. In addition, the S&P MidCap 400® (26.2%) and…

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Mar 2, 2020

Profiling the “Personality” of 2 Dividend Strategies – A Factor Look: Part 2

What story is Optimal Asset Management’s Factor Allocator’s analysis trying to tell us?  First, it is important to note each strategy has a factor fit quality reading above 80% (the S&P 500 High Dividend Index – 83.72% and the S&P 500 Dividend Aristocrats – 87.62%) which means the analysis of factor exposures appears useful in…

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Feb 24, 2020

Profiling the “Personality” of 2 Dividend Strategies – A Factor Look

How do the personalities of two dividend index portfolios look when reviewed under the “Factor Lens”? Using the Optimal Asset Management’s Factor Allocator tool, let’s review two strategies – S&P 500 Dividend Aristocrats and the S&P 500 High Dividend Index. We can identify the average factor exposures of each strategy since January 1995 by viewing…

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