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  • Indexing GARP Strategies: A Practitioner’s Guide download

    White papers 16 August 2019

    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.

  • Discover Material Insights with S&P DJI ESG Data download

    White papers 16 August 2019

    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.

  • Understanding the ESG Consequences of Factor-Based Investing: Part 2 weblink

    White papers 15 August 2019

    In our previous blog, we looked at the S&P Factor Indices’ ESG exposures, showing that factor exposures can have an influence on ESG scores. In this blog, we’ll discuss these scores at the sector level and see how implementing an ESG or carbon reduction strategy on poorer ESG-performing factor indices can help investors gain not only factor exposure but desirable ESG exposures.

  • Concentration Concerns weblink

    White papers 29 July 2019

    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.

  • Why the Volatility Spike is the Low Volatility Strategy’s Best Friend weblink

    White papers 18 July 2019

    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.

  • A Closer Look at S&P 500 ESG weblink

    White papers 9 July 2019

    Explore a new path to core with S&P DJI’s Mona Naqvi and discover how the design and data behind our…...

  • Does Past Performance Matter? The Persistence Scorecard download

    White papers 9 July 2019

    One key measure of successful active management lies in the ability of a manager or a strategy to outperform their peers repeatedly. Consistent success is the one way to differentiate a manager’s luck from skill. The S&P Persistence Scorecard shows that few funds consistently outperformed their peers; 11.4% of domestic equity funds remained a top-quartile fund over the three-year period ending March 2019.

  • Understanding the ESG Consequences of Factor-Based Investing: Part 1 weblink

    White papers 8 July 2019

    “Sustainable investing must go mainstream. Fortunately, the momentum is growing.” – Mark Carney Mark Carney’s statement underpins the sentiment of the investment community, where environmental, social, and governance (ESG) considerations have entered the forefront of investors’ priorities. Whether factor indices have ESG principles integrated or not, understanding a factor’s influence on ESG characteristics, such as the benefits of quality, can be advantageous.

  • Powering ESG with Data: Meet the S&P DJI ESG weblink

    White papers 27 June 2019

    Explore how a powerful new data set is redefining the ESG toolkit.

  • Integrating ESG Values into the Core weblink

    White papers 20 June 2019

    How can market participants improve ESG performance while retaining broad market exposure...

  • Introducing the S&P Risk Parity Indices download

    White papers 19 June 2019

    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.

  • The Beauty of Simplicity: The S&P 500 Low Volatility High Dividend Index download

    White papers 17 June 2019

    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.

  • Get the latest on Factors

    White papers 17 June 2019

    Factors such as size, value, and growth have played a part in asset allocation decisions for decades. With the advent of factor indexing, passive investors gained access to a broader range of exposures. Today, investors can access factors both individually and in combination through a range of ETFs, tapping into a world of sophisticated strategies that were once available only via active management.

  • Four Decades of the Low Volatility Factor weblink

    White papers 11 June 2019

    Many financial theories are based on the idea that riskier investments should offer higher returns.  However, there is a bank of evidence – accumulated since the 1970s – showing that less volatile stocks posted higher risk-adjusted returns across a number of time horizons, regions, and market segments, historically.

  • Why Facebook Was Dropped from the S&P 500 ESG Index weblink

    White papers 11 June 2019

    When the S&P 500 ESG (Environmental, Social, and Governance) Index underwent its annual rebalance after markets closed on April 30, 2019, several notable companies were removed, including Wells Fargo, Oracle, and IBM. However, the largest component to be dropped was Facebook.

  • ESG Factors Are Built on Peter Drucker’s Philosophy weblink

    White papers 4 June 2019

    Do you ever wonder where environmental, social, and governance (ESG) factors—now used in more than 25% of all assets under management—come from? The short answer is: Mainly from the good-practices checklists maintained by a handful of big ratings agencies.

  • How Can SPIVA Inform Active Manager Selection? weblink

    White papers 23 May 2019

    S&P DJI’s Aye Soe and Ed Ware join 3D Asset Management’s CIO Ben Lavine to discuss how financial...

  • Little Churn in the Latest Low Volatility Rebalance weblink

    White papers 17 May 2019

    Market gains in the first four months in 2019 more than made up for what it lost in the turbulent last quarter of 2018 as the S&P 500 jumped 18%. Predictably enough, the S&P 500 Low Volatility Index® trailed the broader benchmark (up a “mere” 16% in the first four months), although Low Vol has led the broader benchmark during May’s pullback.

  • Low Volatility and Minimum Volatility Are Not the Same weblink

    White papers 15 May 2019

    Global equities have been turbulent recently as a combination of stalled trade negotiations and announcements of tit-for-tat tariffs increased the prospect of a trade war between the U.S. and China.

  • Is the Low Volatility Anomaly Universal? download

    White papers 9 May 2019

    Low volatility investing gained immense popularity in the last decade. A proliferation of passive investment vehicles based on this concept attracted more than $70 billion in assets globally as of the end of February 2019.

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