S&P Dow Jones Indices produces a range of low volatility indices, covering various single-country and international markets. These indices offer a perspective on the returns of lower volatility equities and provide a basis for index-linked products and benchmarks globally.
S&P Dow Jones Indices is committed to providing transparency to markets and publishing relevant environmental metrics on indices. A range of metrics reveals the carbon footprint of each index, alongside exposure to fossil fuels, stranded assets, and renewable energy.
In recent years, an increasing number of market participants have shown interest in sustainability-driven investing and have started to incorporate elements of environmental, governance, and social factors in their investment processes.
In prior blogs, we discussed the return contribution of mega-cap securities in 2017, as well as the impact of style classifications that may give small-cap active managers more autonomy to invest in significantly different risk exposures. In this blog, we look at active factor risks taken by active managers across three market-cap ranges against the appropriate S&P DJI style benchmarks.
In the second blog of this series, we saw that the S&P 500® Low Volatility Rate Response generally achieved similar levels of volatility reduction as the S&P 500 Low Volatility Index.