Tag Archives: quality
Looking Under the Hood of S&P 500 Information Technology Performance
Has the IT sector done well because of the quality factor, or is it the other way round? S&P DJI’s Anu Ganti takes a closer look at the relationship between sectors and factors to explore what’s driving IT’s climb over the past 12 months. Has the IT sector done well because of the quality factor,…
- Categories Factors
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The S&P Composite 1500®: An Efficient Measure of the U.S. Market
The S&P 1500 serves as both a benchmark indicator for U.S. equity market performance and as a basis for passively replicating investment products that aim to deliver a “market” return. Our new paper examines the index from both these perspectives, and compares the S&P 1500 with other U.S. equity market indices. Here are a few…
- Categories Equities, S&P 500 & DJIA
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Market Dynamics Amid CARES Act Influx
How is COVID-19 relief impacting U.S. market segments? S&P DJI’s Gaurav Sinha takes a closer look at fixed income spreads, small- and mid-cap equities, and a potential role for the quality factor moving forward. https://www.youtube.com/watch?v=0CZieRiuPG4
- Categories Equities
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- Equities
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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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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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S&P DJI’s Dividend Indices: The Importance of Incorporating Quality Screens
Over the last few months, the COVID-19 pandemic has taken its toll on the global economy in a way that no one could have expected. Unsurprisingly, many companies have had to reassess their dividend policy—in many cases resorting to cutting, postponing, or even suspending dividend payments. Against this background, it is beneficial to review the…
- Categories Strategy
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Using Sector & Industry Indices to Uncover Opportunity
Could higher dispersion in sectors and industries translate to outperformance? S&P DJI’s Anu Ganti explores how index data can be used to inform tactical sector rotation strategies in periods of high volatility. https://www.youtube.com/watch?v=3GHJ3YohLEE Get the latest sector dashboard: https://spdji.com/indexology/sectors/us-sector-dashboard.
- Categories Equities
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- Equities
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The S&P 500 Quality Index: Attributes and Performance Drivers
COVID-19 driven volatility has caused market participants to refocus on defensive strategies. As investors turned to quality, the S&P 500® Quality Index demonstrated better downside protection and outperformed. Furthermore, it offered a sizable dividend yield of 2.2%. This analysis investigates attributes of the index. Breaking Down Components From all-time highs on Feb. 19, 2020, to…
- Categories Factors
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- Categories
- Factors
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CARES Act: Why Quality Screening Is Now More Important Than Ever
The U.S. stimulus bill (the CARES Act) enacted on March 27, 2020, received significant attention for its support payments to individuals. However, it also has a significant impact for large corporations (see Exhibit 1). This blog will take a closer look at two lending programs and their market impact within their respective segments. CARES Act:…
- Categories Equities
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- Categories
- Equities
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Putting Defensive Indices to the Test
In January 2019, we highlighted several indices designed to reduce the impact of large equity market drawdowns. Here we analyze the same suite of indices divided across three broad categories: defensive equity, multi-asset, and volatility. This analysis simply reviews performance since the S&P 500®’s high on Feb. 19, 2020, through the close on Friday, March…
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