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May 30 2017

Mid-Year Research Update - 2017

Most active managers fail most of the time, at least if we define failure as underperformance of an appropriate passive benchmark. Success, when it does occur, tends not to persist.

May 05 2017

The Sum of the Parts

Given the success of strategies that exploit single factors, it is not surprising that strategies designed to exploit more than one factor have begun to pique the interest of market participants. If two factors work independently, they might also work well in combination.

Apr 28 2017

The Energy Effect

Apr 28 2017

Sector Showdown

Apr 26 2017

The Merits and Methods of Multi-Factor Investing

Is it wise to rely solely on the performance of one factor or, if not, what multi-factor approaches could be considered and how effective are they?

Apr 18 2017

How Safe Is Your Sector?

Explore an analysis of the required returns of stock and bond sectors to understand potential weighting opportunities within each asset class and to find the relative value between asset classes within each sector.

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 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.

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.

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.

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 05 2016

S&P/JPX JGB VIX® and the Japanese Yen: Part 1

Explore the interaction between Japanese yen exchange rates and forward-looking Japanese Government Bond (JGB) volatility as measured by the S&P/JPX JGB VIX. This paper analyzes the economic interaction between interest rate volatility and FX returns and presents basic but novel empirical insights linking the two.

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 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.

Sep 27 2016

A Performance Analysis of Variable Annuities With Risk Control

A variable annuity with risk control provides caps and floors to the performance of the underlying investment options.

Sep 08 2016

S&P Target Date Scorecard Mid-Year 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.

Sep 01 2016

The Volatility of Active Management

The long-term returns of active funds and their relationship to passive alternatives have been the subject of celebrated studies, famous bets, and endless debate. But returns are only one part of the picture; proponents of active investing increasingly emphasize their capacity for risk management, as opposed to return generation.

Aug 19 2016

Limiting Risk Exposure with S&P Risk Control Indices

Extreme stock market volatility between 2000 and 2010 produced flat returns and led to what many have referred to as a ‘lost decade’. Annualized volatility for the S&P 500® has averaged about 20% since 2000, compared with 14% in the 1990s.

Aug 09 2016

S&P 500 Dividend Aristocrats®

Dividends play an important role in generating equity total return. Since 1926, dividends have contributed approximately one-third of total return for the S&P 500®, while capital appreciations have contributed two-thirds. Therefore, sustainable dividend income and capital appreciation potential are important factors for total return expectations.

Jul 12 2016

Approaches to Benchmarking Listed Infrastructure

Why Consider Investing in Infrastructure?

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