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  • The Importance of Being Large-Cap weblink

    White papers 9 August 2019

    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.

  • 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.

  • 2018 SPIVA Scorecard: Volatility Does Not Help Active Performance weblink

    White papers 13 March 2019

    Contrary to the myth that active managers tend to fare better than their benchmarks during volatile markets, 68.83% of domestic equity funds lagged the S&P Composite 1500® during the one-year period ending Dec. 31, 2018, making 2018 the fourth-worst year for active U.S. equity managers since 2001...

  • An Unfair Fight? Pure Style Indies vs. Active weblink

    White papers 6 March 2019

    How do active managers stack up to passive pure style strategies?

  • Can All the Children be Above Average? weblink

    White papers 27 February 2019

    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.

  • Pure Precision in Style Investing weblink

    White papers 26 February 2019

    How does S&P Pure Style’s stricter definition of value and growth influence risk/return?

  • Combining the Quality Factor With Dividend Yield: A Study of S&P DJI Dividend Strategies weblink

    White papers 16 January 2019

    As of Dec. 31, 2018, the passive implementation of dividend strategies measured approximately USD 141 billion based on assets under management (AUM) of dividend-focused ETFs listed in the U.S. This is a staggering amount considering that only 10 years ago the AUM amounted to just over USD 6 billion.

  • Reclassifying Alpha Using Factors weblink

    White papers 19 December 2018

    Take a strategic look at the risk/return impact of factor implementation in different market cycles...

  • Adapt to Changing Market Conditions: S&P Economic Cycle Factor Rotator Index weblink

    White papers 23 October 2018

    Look inside a dynamic factor rotation strategy designed to time factors in different phases of the market.