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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 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

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 12 2017

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

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

Dec 15 2016

Persistence Scorecard: December 2016

Does Past Performance Matter?

Dec 02 2016

A Case for Dividend Growth Strategies

While traditional high dividend payers have performed strongly in recent years, they have become quite expensive by most valuation metrics. The previous low-interest-rate environment paved the way for many of these businesses to load up on debt to expand their operations, while continuing to pay high dividends. As a result, many of these companies may come under pressure when rates rise.

Nov 22 2016

Factor Risk Premia in the Indian Market

The existence of factor risk premia is well established in the global market. A factor can be thought of as an element that helps to explain the source of risk/return characteristics of a portfolio.

Nov 21 2016

The Climate Change Challenge - From COP 21 to COP 22

At the December 2015 Conference of the Parties (COP 21) in Paris, 197 countries agreed on their aim to keep global temperature rise “well below” 2ºC from pre-industrial times. Explore the ramifications of that goal and the movement toward COP 22.

Nov 16 2016

The Valuation of Low Volatility

Low volatility strategies, as the name suggests, typically perform well in times of market instability. Challenging traditional capital asset pricing theory, they have also outperformed their benchmarks over time despite exhibiting lower risk.

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