Tag Archives: IIS
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
- Other Tags
New Heights for S&P/ASX Linked Volumes
Since its debut in April 2000, the S&P/ASX Index Series has served as the de facto measure of value and performance for the Australian stock market, becoming an integral part of the country’s market infrastructure. 2020 has tested the resilience of that infrastructure; as pandemic fears gripped financial markets, stocks ricocheted, and trading in index-linked…
- Categories Equities
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Illustrating the Value of Liquidity
Let’s suppose for a moment that you are given a choice between two hypothetical exchange traded funds (ETFs) tracking the same index. Fund A has an annual management fee of 0.4% while Fund B has an annual management fee of 0.1%. At first glance, Fund B seems like the better option: it offers similar performance…
- Categories Equities, Strategy, Uncategorized
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- Equities, Strategy, Uncategorized
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Can All the Children be Above Average?
February has been a great month for factor index performance: of the 17 S&P 500®-based factor indices reported in our quarterly factor dashboard, 11 have outperformed the “vanilla” S&P 500 so far. Our indices focused on quality and shareholder return are having particularly strong months, with the S&P 500 Dividend Aristocrats®, the S&P 500 Buyback…
Combining the Quality Factor With Carbon-Efficient Portfolios – A Higher Quality Tilt With a Lower Carbon Footprint
In a previous blog, we highlighted that carbon-efficient firms tended to be high-quality companies. Moreover, integrated quality + carbon-efficiency hypothetical portfolios tended to have higher risk-adjusted returns and were more carbon efficient than the underlying benchmark. In this blog, we look into the risk and return characteristics of those hypothetical portfolios. This exercise helps us…
- Categories Factors, Sustainability
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