All Strategies articles
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White papersHow To Invest In Dividend Strategies Now
Companies globally are slashing dividends as they face a combination of declining revenues and regulatory measures discouraging dividend payments. Not surprisingly, companies are now prioritizing liquidity and solvency over returning capital to shareholders.
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White papers
S&P PACT™ Indices: Empowering Investors Looking to Align with a 1.5°C Scenario
How can indices provide greater insight into climate risk and help investors looking to go beyond traditional carbon reduction strategies? Take a closer look at the drivers behind the new S&P PACT™ Indices with S&P DJI’s Jaspreet Duhra and Andrew Innes.
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White papers
Vixology
How VIX history rhymes—and why we believe option writing strategies are still attractive despite the huge equity market rally.
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White papers
Do we Need Active Management to Tackle Capacity Issues in Factor Investing?
This paper shows that the claims by Blitz and Marchesini (2019), who question the investability of factor indices and argue that active management is needed to avoid capacity issues, do not hold for the following reasons:
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White papers
Asset allocation – Dealing with ‘lower for longer’
The unprecedented crisis caused by COVID-19 has left asset allocators disorientated. Uncertainty has deepened and the outlook now is for bond and equity returns to be lower for even longer, making the hunt for yield all the more acute for investors.
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White papers
Looking Under the Hood of S&P 500 Information Technology Performance
Has the IT sector done well because of the quality factor, or is it the other way round? S&P DJI’s Anu Ganti takes a closer look at the relationship between sectors and factors to explore what’s driving IT’s climb over the past 12 months.
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White papers
Understanding the S&P Managed Risk 2.0 Indices
S&P Dow Jones Indices, in collaboration with Milliman, introduced the S&P Managed Risk 2.0 Indices, which seek to provide core equity strategies with an embedded risk management feature. The key features of this strategy are the following.
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White papers
Risk & Reward - Research and investment strategies Q2 2020
2020 was widely expected to hold in store more of the same – a fairly average year with interest rates remaining “lower for longer” and only a low chance of recession. But COVID-19 has reminded us that, even after centuries of scientific progress, markets move in cycles that present both challenges and opportunities.
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White papers
2020 Long-Term Capital Market Assumptions - Q2 update
Many would argue that we are in, or on the verge of, the first global recession. Considering the magnitude of change over the past months, we have incorporated some fundamental adjustments to the regular systematic update of our return forecasts, which we believe will more accurately capture the current market dynamics.
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White papers
Factors and Factor Indices
There is a subtle but important distinction between factors and factor indices. “Factor” denotes an attribute with which long-term excess returns are thought to be associated. Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense. A number of other variables – prominently including momentum, low volatility, and quality – have likewise joined the factor pantheon.
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White papers
S&P DJI’s Dividend Indices: The Importance of Incorporating Quality Screens
Over the last few months, the COVID-19 pandemic has taken its toll on the global economy in a way that no one could have expected. Unsurprisingly, many companies have had to reassess their dividend policy—in many cases resorting to cutting, postponing, or even suspending dividend payments.
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White papers
Durability During Distress – Part 2
Dividends play a vital role in many investors’ approach to the market, although there is more than one way to approach dividends. Some investors are most concerned with dividend yield per se, while others are more sensitive to the growth of dividends over time. Both approaches, of course, can be readily indicized.
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White papers
Blog | Why didn’t the Low Vol factor protect to the downside?
The Q1 2020 sell-off left investors asking themselves, “Where should we have invested?” The conventional wisdom is that defensive strategies tend to be best suited to protecting portfolios during market downturns[1]. Defensive factor strategies include Quality and (low) Volatility strategies. However, the COVID-19 downturn presents us with a puzzle: while Quality preformed relatively well, (low) Volatility did not. Why didn’t Volatility protect portfolios when markets were down?
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White papers
The VIX Index and Volatility-Based Global Indexes and Trading Instruments
Tools based on volatility indexes are widely used for hedging, diversification, risk management, and alpha generation, but investors should carefully study the pricing, risks, and other key aspects before deciding to use such products.
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White papers
Crowding Risk in Smart Beta Strategies
A recurring criticism of smart beta strategies is the presumption of a risk of “crowding”. It is frequently pointed to as a potential risk but is rarely formalised or even defined.
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White papers
Portfolio allocation schemes
Factor allocation decisions are becoming a prominent consideration for factor investors. Which factors to allocate to, and in what magnitude, has a significant impact on investment outcomes and should be a key focus of investors. As multi-factor investing grows in popularity, we hope it will evolve from the mere identification of a set of factors to cover the explicit choice of the relative magnitude of each factor’s exposure.
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White papers
Is Volatility an Investor’s Friend or Enemy?
Explore how high volatility and high dispersion can impact passive and active managers’ performance with S&P DJI’s Craig Lazzara.
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White papers
Market weekly – Time to add risk in multi-asset portfolios?
Senior investment strategist Daniel Morris and Denis Panel, Chief Investment Officer of the Multi-Asset and quantitative solutions team (MAQS), discuss the challenges to asset allocation in this volatile and uncertain market environment.
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White papers
BII Portfolio construction - Weathering shocks
Stress testing resilience in strategic asset allocation through the coronavirus outbreak
