All Indices/benchmarks articles
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White papersImproving Portfolio Diversification with Single Factor Indices
To improve the robustness of their portfolio, asset owners can either exploit the imperfect correlation between risk factors and try to have a more balanced or deconcentrated allocation to them or try to improve conditional diversification by considering exposures of risk factors to macroeconomic regimes.
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White papers
Should Green Benchmarks Include Fossil Fuel Stocks?
As green investing becomes ever more mainstream, there is greater scrutiny of the myriad “environmentally friendly” investment products that have emerged. Several green-labeled benchmarks have been criticized for including oil and gas stocks, for instance, sparking some controversy within the sustainable investment community. However, while efforts to make financial products more transparent are laudable, not all arguments favoring divestment depict a complete and accurate picture. More often than not, divestment is more principled than practical when it comes to achieving the low-carbon transition.
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White papers
How Is SPIVA Data Informing Advisor Allocations?
Take a closer look at how and why some advisors are using SPIVA and Persistence data to meet client
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White papers
IPE/EDHEC Research Insights Spring 2019
This issue of the EDHEC Research Insights supplement to Investment & Pensions Europe includes three contributions from Scientific Beta. In the first article, we look at the use of academically grounded factors in investment practice.
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White papers
IPE EDHEC Research Insights Autumn 2019
This Scientific Beta special issue of the Research Insights supplement to IPE contains articles on:
- Do factor indices suffer from price effects around index rebalancing?
- Explaining the poor performance of factor strategies over the last three years
- Does the size factor still have its place in multi-factor portfolios?
- Single factor indices with strong factor intensity
- Portfolio completeness with single factor indices
- Designing more defensive solutions
- Accounting for macroeconomic conditions in multi-factor allocation
- Adding value with factor indices
- Scientific Beta low carbon option
- Scientific Beta ESG option
- Scientific Beta enhanced ESG reporting -
White papers
Controversial weapons: a call to index providers
We are calling on index providers to exclude controversial weapons from mainstream indices.
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White papers
Momentum reverses, but is value back?
Last week’s reversal saw the most crowded quality-growth names sell off and the much unloved value stocks outperform the market. But can this resurgence of value last?
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White papers
Indexing GARP Strategies: A Practitioner’s Guide
Growth at a Reasonable Price (GARP) is a well-known, much-practiced investment approach. It is a fundamental-driven investment strategy that balances pure growth and pure valuation, as the former tends to invest in high-growth, yet expensive stocks, while the latter may take a long-term investment to pay off.
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White papers
Discover Material Insights with S&P DJI ESG Data
A quarter of all professionally managed assets now incorporate environmental, social, and governance (ESG) considerations,1 from the impact of climate change to equality and human rights. The rich history of S&P Dow Jones Indices (S&P DJI) in this area began in 1999 by pioneering ESG indexing with the launch of the Dow Jones Sustainability Index (DJSI), which marks its 20th anniversary in 2019.
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White papers
Overview Scientific Beta Low Carbon Option – Supporting the Transition to a Low Carbon Economy and Protecting Multifactor Indices against Transition Risks
The Low Carbon fiduciary option applicable across Scientific Beta’s flagship offering allows ethical and socially responsible investors to dissociate from companies with significant coal involvement and further promote the transition to a low carbon economy by reorienting their investments towards less carbon-intensive activities and companies.
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White papers
The Importance of Being Large-Cap
The performance of U.S. equity factors during Q2 was lackluster, with most underperforming the S&P 500, as seen in Exhibit 1. While Minimum Volatility and Low Volatility were notable exceptions, Value, Quality, High Beta, and Momentum all lagged the benchmark – in large part because of their tilt toward smaller companies. Since most factor indices are not cap-weighted, their out- or under-performance tends to parallel that of the equal-weighted 500.
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White papers
Concentration Concerns
Readers of this morning’s Wall Street Journal learned (on the front page, no less) that many of the largest investors in the U.S. equity market hold similar portfolios. “The overlap in the top 50 stockholdings between mutual funds and hedge funds…now stands at near-record levels, a study by Bank of America Merrill Lynch found.
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White papers
Why the Volatility Spike is the Low Volatility Strategy’s Best Friend
The first half of 2019 saw one of the biggest rallies in the domestic market; the S&P 500® rose 18.54% on a total return basis despite concerns of slow economic growth, a trade war, and a possible rate hike. During the same period, the S&P 500 Low Volatility Index surprised the market and rose even more. The index outperformed the broad market by 99 bps in the first six months, and 90 bps in the second quarter.
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White papers
Get the Latest European Factor Returns
European equities continued their rally into Q2, with modest gains compared to a stellar first quarter. Most of our core European factor indices rose in the second quarter, with the S P Europe 350 Quality being the standout. The S P Euro High Yield Dividend Aristocrats was ...
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White papers
Powering ESG with Data: Meet the S&P DJI ESG
Explore how a powerful new data set is redefining the ESG toolkit.
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White papers
Integrating ESG Values into the Core
How can market participants improve ESG performance while retaining broad market exposure
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White papers
EMD - The yield you need, but do it right
Investors are already using EMD in their search for yield, but many are not getting the result they want. Their active managers aren’t delivering.
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White papers
Introducing the S&P Risk Parity Indices
The principles behind risk parity relate to answering a deceptively straightforward question: What is diversification? Traditionally, investors have allocated their capital among multiple asset classes to achieve diversification, such as the 60/40 equity/bond blend. Such an approach leads to a disproportionate allocation of risk across asset classes, with equities taking up most of the risk allocation.
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White papers
How to Reconcile Single Smart Factor Indices with Strong Factor Intensity
This paper presents the investment principles, design and performance of Scientific Beta’s single smart factor indices that reconcile strong exposure to the desired factor tilt and high factor intensity as well as better long-term risk-adjusted performance.
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White papers
The Beauty of Simplicity: The S&P 500 Low Volatility High Dividend Index
We take an in-depth look at the S&P 500 Low Volatility High Dividend Index, examining how the simple, two-step constituent screening methodology captures the benefit of high dividend and low volatility strategies to achieve higher dividend yield and better risk-adjusted returns than other S&P Dow Jones Dividend Indices that use multiple dividend and fundamental quality screens.
