Tag Archives: Craig Lazzara
Man Bites Dog: The Year for Active Management?
For at least five years, we’ve noticed that, despite historical performance, active managers regularly proclaim that this year will at last be the time when active management shows its value. I suspect that most advocates of indexing derive at least some guilty pleasure from observing this ritual. (I know I do.) So, we want to ask, if you know…
- Categories Equities, S&P 500 & DJIA
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Efficient Markets and Irrational Exuberance
Recent headlines have reflected the extraordinary behavior of GameStop Corp.; the company’s stock rose from $18.84 at year-end 2020 to $325 at the close on Jan. 29, 2021, then declined to $90 in the first two trading days of February. At year-end, GameStop was the 314th largest stock in the S&P SmallCap 600®. By the end of January…
- Categories Equities, S&P 500 & DJIA
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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,…
- Categories Equities, Factors, S&P 500 & DJIA, Strategy
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Two Sides of Volatility
I was recently asked whether volatility was particularly challenging for index fund owners or for active investors. The answer is “yes.” For index funds, the challenge arises because rising volatility typically accompanies poor returns. Between 1991 and 2019, e.g., months in which the S&P 500’s volatility was above median averaged modestly negative total returns. In…
- Categories S&P 500 & DJIA, Strategy
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Is Mid-cap Outperformance an Illusion?
S&P DJI’s Craig Lazzara explains how style drift could be responsible for inflating the perception of active manager skill. https://www.youtube.com/watch?v=bRKYDS7KPjA Read the Performance Trickery blogs at: beta.indexologyblog.com
- Categories Equities
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- Categories
- Equities
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The Defensive Advantage
A wise man told me years ago that there are some things you can’t get if you go after them directly. If you’ve ever watched someone trying to sound interesting, you’ll realize the truth of my friend’s observation. There are plenty of interesting people out there, of course, but they achieve that status by pursuing…
- Categories Equities, S&P 500 & DJIA, Strategy
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Is Volatility an Investor’s Friend or Enemy?
Explore how high volatility and high dispersion can impact passive and active managers’ performance with S&P DJI’s Craig Lazzara. https://www.youtube.com/watch?v=zdU50uYbvs0 Get the latest Dispersion, Volatility, & Correlation dashboard: https://spdji.com/documents/commentary/dashboard-dispersion-2020-03.pdf
- Categories Equities
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- Categories
- Equities
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Performance Trickery, part 3
Success is hard to come by for active managers, as readers of our SPIVA reports know well. Sometimes what appears to be stock selection skill is in fact simply a byproduct of style drift across the capitalization scale. A majority of large-cap active managers outperformed the S&P 500 only 3 times in 19 years of…
- Categories Equities, S&P 500 & DJIA, Strategy
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Coronaviral Correlations
Mea culpa: Roughly a month ago I used a dispersion-correlation map to describe how index dynamics can illuminate market movements. In particular, I reported that since high dispersion seems to be a necessary condition for a bear market, and S&P 500 dispersion levels at the end of February were far below those prevailing in past…
- Categories Equities, S&P 500 & DJIA
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Equity Liquidity at a Reasonable Price
The fall in equity market values since February’s peak has been sudden and dramatic. During this period, the equity markets have functioned well at their primary task of facilitating price discovery at a time when values were changing rapidly. Equity investors who wanted to trade have been able to trade. (Whether they were wise to…
- Categories Equities, S&P 500 & DJIA
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