Factor Indices: A Simple Compendium
How much of active management outperformance is attributable simply to factor exposure?
「Research」一覧
From Grass to Mass: An Index-Based Approach to Measuring Greenium in Green Bonds
See how "greenium" has changed over recent years in the muni, corporate, sovereign, and quasi green bond markets.
Low Volatility and High Beta: A Study in Backtest Integrity
The recent 10th “birthday” of the S&P 500 Low Volatility Index and S&P 500 High Beta Index allows us to compare the backtested performance with which they were introduced with actual live performance. ...
What Happened to the Index Effect? A Look at Three Decades of S&P 500 Adds and Drops
指数効果とは、主要指数に追加、あるいは主要指数から除外される証券に関連する推定超過リターンのことを指します。指数効果についてはここ何十年にもわたり研究されてきましたが、パッシブ投資が拡大し、それに伴って指数への連動を目指す投資家（指数構成銘柄の変更に対応する）の売買圧力により、銘柄のリターンが影響を受けるかもしれないといった思惑が高まる中で、指数効果はここ数年においてますます注目されるようになっています。...
Harnessing Multi-Factor Strategies Close to the Core
Discover what sets the S&P QVM Top 90% Indices apart from single-factor and other multi-factor indices.
What Happened to the Index Effect? A Look at Three Decades of S&P 500 Adds and Drops
从ETF做市商崛起到市场效率提升 ，被动投资生态系统正在不断演变，而其核心正是指数重新调整机制。
What Happened to the Index Effect? A Look at Three Decades of S&P 500 Adds and Drops
從ETF做市商崛起到市場效率提升 ，被動投資生態系統正在不斷演變，而其核心正是指數重新調整機制。
A Fundamental Look at S&P 500 Dividend Aristocrats®
See how the S&P 500 Dividend Aristocrats, which is designed to measure the performance of blue-chip, high-quality companies that have increased their dividends for 25 consecutive years, has delivered high...
What Happened to the Index Effect? A Look at Three Decades of S&P 500 Adds and Drops
From the rise of the ETF market makers to markets becoming more efficient, the passive investing ecosystem is evolving, with index rebalancing at the heart of it.
Returns, Values, and Outcomes: A Counterfactual History
Long-term investment results depend on a number of variables that an investor is powerless to influence; one thing the investor can control is the choice between active and passive management. ...