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Mar 24 2017

Applying Equity Duration to Pension Fund Asset Allocation: A Review of S&P 500® Duration

The difficulties associated with estimating equity duration do not detract from its importance in portfolio immunization, tactical asset allocation, and risk management.

Mar 23 2017

Aligning Impact and Income - The Next Generation of Green Bond Indices

Explore the potential opportunities and remaining challenges for green bonds as green finance investment instruments.

Mar 21 2017

Value and Momentum Strategies in Latin America

In this paper, we explore how a stylized, factor-based framework could be applied to equity markets in Latin America and whether performance can vary in different Latin American countries.

Mar 13 2017

Social Themes in Index-Based Investing: Human Capital

Environmental, social, and governance (ESG) as an investment theme has held some clout in the market for a while, but it continues to evolve as an asset class.

Mar 10 2017

Accessing China’s Growth via Dividends

The Chinese government appears to be committed to continuing structural reforms and supporting economic growth. Initiatives with these goals in mind are generally viewed as positive and may put China on a more sustainable growth trajectory in the long run.

Mar 06 2017

Seeking Income: Cash Flow Distribution Analysis of S&P 500® Buy-Write Strategies

In recent years, income-seeking market participants have shown increased interest in buy-write strategies that exchange upside potential for upfront option premium.

Mar 06 2017

Rethinking Longevity Risk: A Framework to Address the Tail End

Longevity risk in retirement has always been a serious concern, in that it is part of the ensemble of risks in planning for retirement readiness. In turn, retirement readiness is closely linked to the three critical aspects of retirement: funding, investment returns, and withdrawal of one’s retirement assets.

Mar 06 2017

S&P Global Equity Indices Monthly Update February 2017

S&P Global Equity Indices Monthly Update February 2017

Feb 28 2017

Persistence of Australian Active Funds

While comparing active funds against a benchmark index is a typical practice used to evaluate their performance, persistence is an additional test that reveals fund managers’ skills in different market environments.

Feb 23 2017

S&P Target Date Scorecard Year-End 2016

The S&P Target Date Scorecard provides performance comparisons, equal- and asset-weighted category averages, and analytics covering the target date fund (TDF) universe.

Feb 22 2017

Fleeting Alpha: Evidence From the SPIVA and Persistence Scorecards

One of the key measurements of successful active management is the ability of a manager to deliver consistent positive excess returns for some period, on a net-of-fees basis.

Feb 17 2017

ESG’s Growing Impact: Spotlight on South Africa

While sustainable investing is not a new concept, it was overlooked in the financial markets up until a few years ago. Thanks to a few key catalysts, namely the United Nations-backed Principles for Responsible Investment (PRI),2 environmental, social, and governance (ESG) research, and academic studies focusing on evidence around materiality, sustainability is in the day-to-day conscious of financial market participants

Feb 03 2017

S&P Global Equity Indices Monthly Update January 2017

S&P Global Equity Indices Monthly Update January 2017

Jan 31 2017

Inside Low Volatility Indices

The widespread adoption of the low volatility strategies by retail and institutional market participants to gain exposure to the factor indicates that low-risk investing is here to stay. It is important that market participants understand the fundamental differences between the two established forms of low-risk index construction: rankings based versus optimization based.

Jan 31 2017

Evaluating Sustainable Investment Trends

A number of key developments are likely to shape environmental, social, and governance (ESG) trends over the course of 2017. Managing these transitions and the deeply interconnected risks they entail will require long-term thinking, investment, and international cooperation.

Jan 31 2017

S&P/JPX JGB VIX® and the Japanese Yen: Part 2

This is the second installment of a two-part empirical paper exploring the interaction between Japanese yen exchange rates and forward-looking Japanese Government Bond (JGB) volatility as measured by the S&P/JPX JGB VIX.

Jan 12 2017

S&P Dow Jones Indices Shariah Quantitative Analysis: Q4 2016

S&P Dow Jones Indices Shariah Quantitative Analysis: Q4 2016

Dec 30 2016

Smart Beta Efficiency Versus Investability: Introducing the Cost-Adjusted Factor Efficiency Ratio

With an increasing number of smart beta strategies focused on the same risk factor, examining factor efficiency is one way to judge how much intended factor exposure market participants are obtaining.

Dec 15 2016

Persistence Scorecard: December 2016

Does Past Performance Matter?

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