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  • 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.

  • Frequently Asked Questions: S&P ESG Index Series download

    Asset Manager News 9 May 2019

    Explore how a new measure of Green REITs is bringing transparency to ESG in the Real Estate sector...

  • Spoiler Alert: Yes weblink

    White papers 25 April 2019

    We recently updated our paper asking Is the Low Volatility Anomaly Universal? The alert reader (and we have no other kind) will have guessed that it is. This is an empirical conclusion, but a theoretical digression might help explain why this is so remarkable.

  • Volatility Test: Defensive Factor Indices versus Actively Managed Funds weblink

    White papers 24 April 2019

    Indices based on factors such as low volatility and quality generally have defensive characteristics. These strategies tend to outperform the broad benchmark in down markets, as previous studies have shown.

  • Understanding the S&P Managed Risk 2.0 Indices download

    White papers 23 April 2019

    S&P Dow Jones Indices, in collaboration with Milliman, has introduced a series of managed risk 2.0 indices that provide core equity strategies with an embedded risk-management feature. The key features of this strategy are the following.

  • Accessing Green Real Estate with Indices weblink

    White papers 18 April 2019

    Explore how a new measure of Green REITs is bringing transparency to ESG in the Real Estate sector...

  • The S&P 500 ESG Index: Integrating Environmental, Social, and Governance Values into the Core weblink

    White papers 16 April 2019

    An increasing number of investors require indices that are aligned with their investment objectives and their personal or institutional values. The S&P 500 ESG Index was designed with both of these needs in mind.

  • Blending Factors in Your Smart Beta Portfolio download

    White papers 3 April 2019

    In recent years, smart beta strategies have seen a significant increase in popularity. These systematic strategies seek to measure factors in order to harvest the associated long-term risk premium.

  • Adding ESG Transparency to Real Estate download

    White papers 3 April 2019

    More and more investors are integrating ESG risks into their investment process. Given the large size and specialized nature of real estate assets, the investment community has demanded sophisticated tools to more accurately identify real estate companies that own more sustainable properties and integrate this information seamlessly into their investment process.

  • Positioning for Market Volatility Using Passive Strategies weblink

    White papers 2 April 2019

    Fluctuating periods of “risk-on” and “risk-off” mean that spikes in equity market volatility and large drawdowns are increasingly common in today’s economy. Exhibit 1 shows events throughout the current market cycle causing notable rises in volatility and large drawdowns. With more of these likely in the future, as our long bull market cycle ages, how do investors best position portfolios to respond?

  • Adapt to Changing Market Conditions in Europe: S&P Europe 350 Economic Cycle Factor Rotator weblink

    White papers 28 March 2019

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

  • 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...

  • Fleeting Alpha: The Challenge of Consistent Outperformance download

    White papers 12 March 2019

    Can past winners persist across longer time horizons, market caps and investment styles?

  • 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?

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