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The case for active equities in the U.S.

The case for active equities in the U.S.

🕔13:18, 10.Jan 2022

Using a systematic approach to target consistent alpha Not just active, systematic active In decades past, investors have largely relied on information supplied by companies themselves to understand how business conditions and fundamentals were evolving.  Financial statements, meetings with management

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Recovery headwinds spur large-cap Growth rebound

Recovery headwinds spur large-cap Growth rebound

🕔16:46, 3.Nov 2021

The robust reopening rally in US stocks lost steam in Q3, mired by broad September losses, as investors recalibrated expectations for the US recovery, inflation and Fed policy support. Amid big swings in risk appetite and a late-quarter bondmarket selloff,

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Incorporating ESG into US equity benchmarks

Incorporating ESG into US equity benchmarks

🕔09:01, 27.Oct 2021

Investors who want to incorporate ESG considerations into a broad US market passive portfolio have traditionally had to accept a certain (often high) level of deviation from the risk and return characteristics of the underlying benchmark. 

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Money Monitor: September 2021

Money Monitor: September 2021

🕔10:05, 21.Oct 2021

In our Money Monitor report, we provide a comprehensive flow analysis in European open-ended funds and ETFs. We also look at the main investment trends observed over the past month. Key takeaways: September proved challenging for investors. They faced increased

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Why is it a good time to allocate to high-yield markets via CDS indices?

Why is it a good time to allocate to high-yield markets via CDS indices?

🕔10:58, 1.Oct 2021

CDS indices outperformed bonds and behaved better in times of stress thanks to better liquidity High-yield CDS indices have outperformed the high-yield bond market over the long term regardless of the interest rate exposure, as illustrated in Figure 3. This

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STOXX Monthly Index News – August

STOXX Monthly Index News – August

🕔11:06, 7.Sep 2021

Stocks rose for a seventh straight month during August amid ongoing optimism that the global economy continues to rebound from the COVID-19 slump and as the US Federal Reserve indicated it won’t rush to …

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What could drive change?

What could drive change?

🕔10:25, 12.Aug 2021

Covid-19 index: when might life return to ‘normal’? As the US continues its Covid-19 vaccination program, the Return to Normal Index measures human activity data relative to pre-pandemic levels. The index is constructed by our data scientists and fundamental analysts

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Listed companies have less than six years to align with 1.5C warming target, inaugural MSCI Net-Zero Tracker reveals

Listed companies have less than six years to align with 1.5C warming target, inaugural MSCI Net-Zero Tracker reveals

🕔11:59, 14.Jul 2021

Launch of quarterly MSCI Net-Zero Tracker will show progress of listed companies towards the goals of the Paris Agreement and highlight climate leaders and laggards. NEW YORK – July 12, 2021 – The world’s publicly listed companies must dramatically accelerate

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The SFDR’s Articles 8 and 9: The Funds Behind the Labels

The SFDR’s Articles 8 and 9: The Funds Behind the Labels

🕔12:54, 12.Jul 2021

Financial market participants (FMPs) in the European Union (EU) are already addressing aspects of the EU’s Sustainable Finance Disclosure Regulation (SFDR)1 , which aims to enhance transparency on how sustainability risks are integrated or how adverse sustainability impacts are considered

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STOXX Monthly Index News – June 2021

STOXX Monthly Index News – June 2021

🕔13:04, 6.Jul 2021

The EURO STOXX 50® ESG Index was introduced in 2019 as a sustainable alternative to the flagship EURO STOXX 50® Index. The ESG index follows product- and norms-based exclusions and integrates companies’ ESG scores into the stock selection. The result

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A Matter of Degrees: Aligning ESG Strategies with the Paris Agreement

A Matter of Degrees: Aligning ESG Strategies with the Paris Agreement

🕔15:32, 20.May 2021

Indexology SPRING 2021 Magazine: We talked with Francois Millet, Managing Director and Head of Strategy, ESG, and Innovation at Lyxor ETF, and Jaspreet Duhra, Senior Director and Head of EMEA ESG Indices at S&P DJI, about the evolving role of ESG

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Exploring Techniques in MultiFactor Index Construction

Exploring Techniques in MultiFactor Index Construction

🕔14:07, 30.Mar 2021

The benefits of diversifying across a multitude of smart beta equity factors have been supported and explained in a host of research and literature1 . Single-factor indices (quality, value, momentum, low volatility, and small size) may reward market participants over the long term, but can be notoriously difficult to time over the shorter term. Multi-factor indices, on …

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ESG Indices, Green Hydrogen and Credit Spreads – #ESG Research Highlights

ESG Indices, Green Hydrogen and Credit Spreads – #ESG Research Highlights

🕔10:46, 19.Mar 2021

In a recent publication by DWS, forecasts are made for 10-year returns on ESG indices. These capital market assumptions are made to assist investors in constructing strategic long-term portfolios that keep in mind the traditional financial metrics and ESG impact metrics. The construction of the forecasts is done incorporating the …

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The Wisdom of Buying Absurdly Expensive Stocks

The Wisdom of Buying Absurdly Expensive Stocks

🕔15:38, 5.Jan 2021

December 2020  2020 has been a story of the big getting bigger, with valuations for the largest companies in the S&P 500 Index, particularly the FAANGM tech behemoths, reaching near-record levels. In this article, we ask whether such valuations can

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A Gut Punch

A Gut Punch

🕔11:45, 4.Jan 2021

Cliff’s Perspective  Sure, the last nearly three years have hurt, but at least the explanation was straightforward. A core part of our process, value, suffered. So when value rebounds, we will too, right? Well, not necessarily. To be clear, if

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Patience with active performance cyclicality: It’s harder than you think

Patience with active performance cyclicality: It’s harder than you think

🕔14:46, 4.Dec 2020

"Patience in investing is the capacity to endure periods of underperformance in hopes of achieving an investment objective. For many investors, outperforming the broad market through traditional active management or factor-based investing is a key goal— and one that requires

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The Right ETF Starts with the Right Index

The Right ETF Starts with the Right Index

🕔11:34, 27.Nov 2020

Deeper knowledge about how indexes work can drive better portfolio outcomes for wealth advisors  Because an index is a hypothetical basket of securities, it cannot be invested in directly. However, indexes are often licensed by fund managers to be used

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The S&P 500 ESG Index: Defining the Sustainable Core

The S&P 500 ESG Index: Defining the Sustainable Core

🕔14:38, 20.Nov 2020

Index Education The launch of the S&P 500 ESG Index in April 2019 signaled an evolution in sustainable investing. Indices based on environmental, social, and governance (ESG) data were no longer simply a means for companies to declare their sustainability

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Monthly Index News – October

Monthly Index News – October

🕔09:17, 5.Nov 2020

Benchmark Indices Key Points: The STOXX® Global 1800 Index fell for a second consecutive month in October, led by losses in European shares, as the number of COVID-19 contagions rebounded strongly. The global index retreated 3.2% in dollar terms and

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Index Dashboard: Dispersion, Volatility & Correlation

Index Dashboard: Dispersion, Volatility & Correlation

🕔09:18, 3.Nov 2020

Above-average equity volatility continued in October, despite a decline from last month’s level for the S&P 500 and most of our reported indices. The short-term trend was less encouraging: much of October’s volatility occurred during a choppy final week as

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Targeted sustainability

Targeted sustainability

🕔14:47, 30.Oct 2020

This paper discusses how: multiple SI objectives can be incorporated in an index in a transparent and flexible manner. the Target Exposure methodology is an evolution of FTSE Russell’s tilting methodology, which fits well with the increasing demand for index

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Monthly Index News

Monthly Index News

🕔14:31, 5.Oct 2020

September DAX Indices Key points The DAX family is led by Germany’s blue-chip DAX®. The MDAX® and SDAX®, respectively, gauge the performance of the country’s mid- and small-caps. The TecDAX® tracks German technology companies. Finally, the HDAX® Index groups all

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STOXX ESG-X Indices Outperform During Market Distress

STOXX ESG-X Indices Outperform During Market Distress

🕔15:29, 25.Sep 2020

Our August 2019 paper entitled “STOXX ESG-X Indices” noted that sustainable investing – which we define as also covering related terms such as responsible investing and socially responsible investing – recorded global growth of 15% per annum between 2012 and

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Stocks, Bonds, Bills, and Inflation

Stocks, Bonds, Bills, and Inflation

🕔14:58, 25.Sep 2020

Interpretive Analysis and Insights   During the last quarter of 2018, major U.S. indices plunged approximately 20% from their peaks of end of late August/early October. In 2019, they recovered and reached new highs. The S&P 500 and Dow Jones Industrial

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SPIVA® U.S. Scorecard

SPIVA® U.S. Scorecard

🕔09:58, 24.Sep 2020

Drastic volatility hit the U.S. stock market in the first half of 2020. The S&P 500® declined by 3.1%, with negative returns also posted by the S&P MidCap 400® (-12.8%) and the S&P SmallCap 600® (-17.9%). The S&P 500 reached

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Climate Change and Credit Risk

Climate Change and Credit Risk

🕔17:27, 18.Sep 2020

An EDHEC-Risk Institute Working Paper As climate change and global warming are addressed by tougher regulation by governments (especially in the form of carbon pricing mechanisms), new emerging technologies, and shifts in consumer behaviors, global investors are increasingly concerned with

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Family Offices & LTCMA in our Top Five

Family Offices & LTCMA in our Top Five

🕔10:08, 5.Sep 2020

#36 It was a bit quiet in webinar-world the past month, but this month our calendar is quite busy again. For example, next week Capital Group hosts a webinar called “10 investment themes for the next 10 years“. The week

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Fleeting Alpha Scorecard: The Challenge of Consistent Outperformance

Fleeting Alpha Scorecard: The Challenge of Consistent Outperformance

🕔07:44, 1.Sep 2020

The Fleeting Alpha Scorecard is a semiannual report showing how well outperforming mutual funds from one three-year period continue to outperform thereafter. It combines …

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Index Dashboard: Europe

Index Dashboard: Europe

🕔12:59, 3.Aug 2020

Index Investment Strategy

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FTSE Russell Study on EU Paris-aligned Benchmarks

FTSE Russell Study on EU Paris-aligned Benchmarks

🕔15:27, 17.Jul 2020

This paper presents the results of a FTSE Russell study examining the creation of a climate-focused FTSE All-World Paris-aligned Benchmark (PAB) Index. Such a benchmark is intended to satisfy the requirements for an EU Paris-aligned …

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Strong Recovery Puts Chinese A Shares in the Spotlight

Strong Recovery Puts Chinese A Shares in the Spotlight

🕔09:56, 15.Jul 2020

Multi-Asset Solutions Weekly Strategy Report  China has been leading other major emerging market (EM) equity markets, staging a strong recovery from March’s lows. China’s CSI 300 Index (of onshore stocks traded in Shenzhen and Shanghai) has more than fully recovered

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FTSE Russell – Webinar – FTSE Target Exposure Indexes

🕔16:00, 28.May 2020

Webinar – FTSE Target Exposure Indexes The FTSE Target Exposure Indexes are a suite of benchmarks and investable indexes designed to target specific characteristics—such as factor, climate and ESG exposures—while minimizing all off-target, consequential exposures. Target exposures are completely flexible

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Resilience amidst market drawdowns

Resilience amidst market drawdowns

🕔13:00, 27.May 2020

Sustainable ETFs  During the Coronavirus period, the majority of ESG index portfolios delivered better relative returns compared to broad markets. It has emerged as a consistent pattern with ESG outperforming throughout market corrections in recent years. It underscores that companies

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Ready or not, normal here we come: but hard to find for many

Ready or not, normal here we come: but hard to find for many

🕔12:00, 25.May 2020

Americas CIO View The severe economic damage of widespread non-essential activity lockdowns to U.S. and European economies is moving behind, but we expect a slow recovery with elevated …

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The Facts Behind Factor Performance

The Facts Behind Factor Performance

🕔15:58, 15.May 2020

The Invesco White Paper Series – March 2020 Due to its simplicity, market-cap weighting has long been a popular means of calculating the composition of market indexes. But as an investment strategy, market-cap weighting has limitations — frequently resulting in outsized

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The VIX Index and Volatility-Based Global Indexes and Trading Instruments

The VIX Index and Volatility-Based Global Indexes and Trading Instruments

🕔15:47, 13.May 2020

A guide to investment and trading features The Cboe Volatility Index® (VIX® Index) measures the market’s expectation of future volatility conveyed by S&P 500 Index option prices. The VIX is recognized as a premier gauge of expected US equity market

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1QGDP growth in the region

1QGDP growth in the region

🕔13:38, 12.May 2020

CEE Market Insights Due Friday, economic growth in the first quarter in Czechia, Hungary, Poland, Romania and Slovakia will be the highlight of the week. Czechia and Slovakia are expected to contract 3.1% y/y and 3.9% y/y, respectively. Hungary, Poland

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Hans Rosling and ‘Scary Statistics’ made it into our Top Five!

Hans Rosling and ‘Scary Statistics’ made it into our Top Five!

🕔10:13, 9.May 2020

#19 – Top Five Best Read Research on OpinioPro What research was read the most on OpinioPro this past week? Hereby a top five overview: On the fifth place: the CIO View by DWS: “Corona and Talf 2.0 – New

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The passive aggressive AGG, revisited

The passive aggressive AGG, revisited

🕔16:41, 8.May 2020

Passive investing in bonds today turns prudence on its head   It is well understood among investors that there have been massive flows out of active equity funds into passive vehicles, such as index funds and ETFs. What has not been

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Index Dashboard: Europe

Index Dashboard: Europe

🕔11:11, 5.May 2020

April offered a welcome rally for global equities as the novel shock of pandemic became cruelly familiar, and markets adjusted to the new normal. The S&P Europe 350 gained 6% on the month, picking up steam in the final week

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Stoxx Monthly Index News

Stoxx Monthly Index News

🕔07:42, 5.May 2020

Stocks jumped the most in 11 years during April as monetary and fiscal stimulus prompted investors to snap up shares trading at multi-year lows amid the COVID-19 pandemic. The STOXX® Global 1800 Index surged 10.8% in dollar terms for the

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S&P Dow Jones Indices – Webinar – Passive Strategies for Actively Managing Risk

🕔19:00, 31.Mar 2020

Webinar – Passive Strategies for Actively Managing Risk A complimentary webinar for financial advisors Market volatility is cueing up investor fear of risk exposure. How do index-based tools help advisors simplify the discussion so they can provide investors with some

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February 2020 Monthly Index News

February 2020 Monthly Index News

🕔06:40, 11.Mar 2020

Key points Stocks plunged during February, with the STOXX®Global 1800 Index posting its worst monthly return since May 2012, as a fast and widely spreading Coronavirus stoked concerns about an economic slowdown. The STOXX Global 1800 Index dropped 8.4% in

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The Half-Discovered Continent: U.S. Equities Beyond the S&P 500

The Half-Discovered Continent: U.S. Equities Beyond the S&P 500

🕔11:30, 9.Mar 2020

Investors the world over have made allocations to U.S. stocks, which include some of the world’s largest companies. Ex-U.S. investors appear to have explored little beyond the so-called “blue chips,” however. As shown later, European fund investors, in particular, have

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The Passive Paradox

The Passive Paradox

🕔06:46, 6.Mar 2020

Indexology WINTER 2020 Magazine Fifty years ago there were no index funds. All investment portfolios were “active, ” which meant that their managers attempted to outperform benchmark indices like the S&P 500 ® . Today, we estimate that between one quarter

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Index Investment Strategy

Index Investment Strategy

🕔10:00, 2.Mar 2020

European equities struggled in the face of a broader global sell-off, as fears of the spread of coronavirus weighed on markets. The S&P Europe 350 dropped 8.6% on the month, extending its 2020 losses into February after a decline of

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Blending Low Volatility with Dividend Yield in the China A-Share Market

Blending Low Volatility with Dividend Yield in the China A-Share Market

🕔17:00, 24.Feb 2020

Dividend investment is a popular investment strategy among incomeseeking market participants. Since they were first launched in 2003, dividend ETFs with diverse designs have proliferated across regions of varied characteristics. In September 2012, S&P Dow Jones Indices launched the S&P

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Research Target Exposure: Investment applications and solution

Research Target Exposure: Investment applications and solution

🕔13:04, 24.Feb 2020

Factor portfolio construction Most portfolio construction methodologies have some mechanism that permits the levels of factor exposure to be ratcheted up and down; however, factor exposure is rarely the main objective and an alternative decision metric is commonly employed. Examples

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No Keeping up with Stocks

No Keeping up with Stocks

🕔10:46, 17.Feb 2020

Managed Futures 2019 Strategy Review It was a decent (not great) year for the many different vessels sent out to sea across the quant, managed futures, and global macro space, with CTAs enjoying their best year since 2014 – as

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Index Dashboard: Europe

Index Dashboard: Europe

🕔09:55, 3.Feb 2020

Index Dashboard: Europe Despite reaching all–time highs earlier in the month, the S&P Europe 350 finished January with a loss of 1.3%, ending a four–month streak of gains.Weak economic growth in the Eurozone weighed on sentiment, and equities were pulled

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