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Jan 16 2018

Carbon Pricing: Discover Your Blind Spots on Risk and Opportunity

Understanding carbon pricing risk exposure is essential to managing business risk and building resilience to intensifying global climate policies.

Jan 15 2018

S&P Latin America Equity Indices Quantitative Analysis Q4 2017

Understanding carbon pricing risk exposure is essential to managing business risk and building resilience to intensifying global climate policies.

Jan 11 2018

S&P Shariah Indices Dow Jones Islamic Market Indices: Q4 2017

Understanding carbon pricing risk exposure is essential to managing business risk and building resilience to intensifying global climate policies.

Jan 05 2018

Outperformance in Equal-Weight Indices

Explore the sources of equal-weight index outperformance from various perspectives, including sectoral, factor-based, and constituent-level analyses.

Jan 05 2018

Global Real Estate Report: Fourth Quarter 2017

Explore the sources of equal-weight index outperformance from various perspectives, including sectoral, factor-based, and constituent-level analyses.

Jan 02 2018

S&P Global Equity Indices Monthly Update December 2017

S&P Global Equity Indices Monthly Update December 2017

Dec 21 2017

Do Earnings Revisions Matter in Asia?

We explore the efficacy of earnings revision strategies in various Pan Asian equity markets including Australia, China, Hong Kong, India, Japan, South Korea, and Taiwan to shed light on whether earnings revisions can be an alternative source of return drivers for these markets.

Dec 19 2017

Shooting the Messenger

The rise of passive management was the consequence of active performance shortfalls.

Dec 12 2017

Degrees of Difficulty: Indications of Active Success

Strong theoretical arguments and extensive empirical data support the view that we should expect most active managers to underperform most of the time; but does active performance tend to wax and wane?

Dec 04 2017

Factor Performance Across Different Macroeconomic Regimes in India

For this paper, we compared sector composition in factor portfolios and examined performance characteristics of factors in different macroeconomic regimes, including market cycles, business cycles, and investor sentiment regimes in India.

Dec 04 2017

The Beauty of Simplicity: The S&P 500 Low Volatility High Dividend Index

Dividend investment strategies have inspired widespread academic research, and they have been adopted extensively by market participants. In response to the demand for benchmarks in this investment arena, S&P Dow Jones Indices offers a series of dividend strategy indices, which are all designed to meet specific needs.

Dec 01 2017

S&P Global Equity Indices Monthly Update November 2017

S&P Global Equity Indices Monthly Update November 2017

Nov 29 2017

Reading VIX®: Does VIX Predict Future Volatility?

The purpose of this paper is to provide—without requiring a prior knowledge of the sophisticated mathematics involved in option pricing—a practitioner’s guide to interpreting what is, and what is not, indicated by VIX.

Nov 20 2017

The S&P BSE 100 ESG Index: A Strategy for the Socially Responsible Market Participant

In recent years, socially responsible investing has gained importance worldwide. India has also aligned itself with this global trend and become more sensitive to the ESG aspects of doing business.

Nov 16 2017

S&P Latin America Equity Indices Quantitative Analysis Q3 2017

In recent years, socially responsible investing has gained importance worldwide. India has also aligned itself with this global trend and become more sensitive to the ESG aspects of doing business.

Nov 07 2017

An In-Depth Look at the Dow Jones Sukuk Indices

Market participant appetite for sukuk remains, and there is a tendency to favor higher-yielding and longer-tenor sukuk.

Nov 03 2017

Incorporating Free Cash Flow Yield in Dividend Analysis

With high free cash flow possibly indicating a strong, healthy balance sheet, we tested to see if free cash flow yield, defined here as annual free cash flow per share divided by stock price, contains any meaningful return information and whether, all else being equal, a company with a higher free cash flow yield will deliver higher free cash income for each U.S. dollar invested and is preferable to one with a lower free cash flow yield.

Nov 02 2017

S&P Global Equity Indices Monthly Update October 2017

S&P Global Equity Indices Monthly Update October 2017

Oct 17 2017

Long-Termism: Index Impossible?

The S&P LTVC Global Index was designed as a vehicle to identify the companies that embody long-termism and give long-term market participants an index that seeks to track the performance of these like-minded companies. The index also aims to engage companies on the issue of long-termism in order to motivate them to improve disclosure on their sources of LTVC. This paper provides our philosophy and rationale on the objective, process, and structure that went into creating the index, as well as its engagement role in influencing companies to improve their reporting to market participants.

Oct 12 2017

Benchmarking Lifecycle Investment Strategies: Introducing the S&P/BMV Mexico Target Risk Indices

S&P Dow Jones Indices has introduced the S&P/BMV Mexico Target Risk Index Series, a series of multi-asset class indices that are designed to serve as benchmarks for the Mexican pension system.

Oct 04 2017

S&P GSCI Advisory Panel Meeting: Review of 2018 S&P GSCI Index Rebalancing

Review of 2018 S&P GSCI Index Rebalancing

Oct 02 2017

S&P Global Equity Indices Monthly Update September 2017

S&P Global Equity Indices Monthly Update August 2017

Sep 26 2017

Hedging High Yield and Emerging Market Bond Tail Risk With VIX® Futures

In this paper, we investigate the relationship between the credit bond sectors and the CBOE Volatility Index® (VIX), a leading indicator of the implied volatility of the U.S. equity market.

Sep 26 2017

How Smart Beta Strategies Work in the Hong Kong Market

In this paper, we analyzed the performance of six single factors (small cap, value, low volatility, momentum, quality, and dividends) in the Hong Kong market from June 30, 2006, to Feb. 28, 2017.

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