White Paper

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

The launch of the S&P 500 ESG Index in April 2019 signaled an evolution in sustainable investing. The S&P 500 ESG Index was built to underlie strategic, long-term mainstream investment products. Intentionally broad, the index seeks to maintain similar overall industry group weights as the benchmark, while providing an improved sustainability profile.

This paper outlines the following index characteristics:

  • The easy-to-understand methodology behind the index
  • How "financial materiality" drives index construction
  • The historically similar risk-adjusted performance profile to the S&P 500
  • The improved ESG characteristics of the S&P 500 ESG Index over the S&P 500
White Paper

Harnessing Multi-Factor Strategies Close to the Core

Factors that outperform over time are also prone to extended periods of underperformance, which are difficult to time. For investors seeking exposure to factors but hoping to access greater diversification and reduced cyclicality, multi-factor strategies may be more suitable than single factors. Meet the S&P QVM Top 90% Indices, covering the U.S. large-cap, mid-cap, and small-cap universes, and combining quality, value, and momentum in a single strategy.


One Commodity Conundrum Despite 2nd Best April Ever

The Dow Jones Commodity Index and S&P GSCI total return indices gained 9.1% and 10.1%, respectively, in April. For the S&P GSCI, it was the best month in a year, and the second best April ever in history since 1970, only after last year’s April, when it gained 11.1%. Further, the S&P GSCI is up 15.5% since Feb 29, 2016, making this the first consecutive positive two months in two years, since Mar-Apr 2014, but marks the biggest consecutive two months in almost seven years since May-Jun 2009 when it gained 20.4%.

How Active Should Active Management Be?

Most active managers fail most of the time, at least if we take their underperformance of passive benchmarks as evidence of failure. The evidence of this failure is so widespread, and so consistent, that even dyed-in-the-wool active managers no longer deny it.

The Power of a Consensus Glide Path

Some who follow target date fund (TDF) performance have taken note that lately, the S&P Target Date Index Series has outperformed many TDFs. In most historical periods, index performance was middle of the pack. However, 2015 was an exception, as shown in Report 2 of our Year-End 2015 Target Date Scorecard. Every vintage of the S&P Target Date Index Series produced total returns that were close to, or better than, those of funds in the 90th percentile of the target date mutual fund universe.

Metals Don’t Reflect Chinese Demand Growth

After China reported year-over-year first-quarter growth that showed signs of improvement, it overpowered negative news of the Doha oil production meeting failure and sent commodities rallying. Investors’ attention quickly shifted from oil to the other economically sensitive sector, industrial metals.

Key Environmental Metrics for Investors: It’s not Just Carbon

Emissions of carbon dioxide and the other greenhouse gasses are often foremost in people’s minds when they consider environmental risk. This is understandable as, if we continue on our current path, we are set for four degrees Celsius of warming by 2100, compared with pre-industrial levels. Expected consequences include the flooding of coastal cities, irreversible loss of biodiversity, severe heat waves, and high-intensity tropical cyclones. 2016 has seen Arctic sea ice at its lowest seasonal maximum in satellite records, so warming is already having significant impacts.

Who’s Afraid of a Carbon Tax?

As far as equity investors might experience them, the risks of a potential “carbon tax” are more easily fathomed than the rewards. Emissions data are available for most large companies and – taking basic assumptions on the likely form of taxation – we can easily examine which market segments face the greater risks.

Unnaturally Negative Interest Rates

Negative interest rates – you pay for the privilege of keeping your money in the bank – are current monetary policy in Japan and some European countries. Negative interest rates pose questions: Are they here?

How Did South African Active Managers Perform in 2015?

In 2015, equity markets in South Africa were turbulent amid falling commodity prices and the depreciation of the South African rand. Political uncertainty surrounding the appointment of the country’s finance minister and the lowering of the country’s debt rating by leading rating agencies also contributed to the lackluster performance of equities.

Has the ACA Achieved its Goal of Significantly Increasing Enrollment While Making Healthcare Coverag

In this blog post, Glenn Doody discusses whether the 25%+ increase in new membership related to the Affordable Health Care Act helped to achieve its goal of significantly increasing enrollment while making healthcare coverage more affordable.

Best March For Commodities In 10 Years

In this blog post, Jodie Gunzberg discusses March’s historically big commodity return, which is the biggest since March 2006.

Indexing the Brexit

In this blog post, Kevin Horan discusses the indexing of the Brexit and what can be observed about it from S&P Dow Jones Indices.

The Teleology of Smart Beta

In this blog post, Craig Lazzara discusses the growth of assets tracking factor indices and how it goes hand-in-hand with the evaluating and promoting Smart Beta funds.

Can House Prices Keep Rising?

In this blog post, David Blitzer discusses the prices of existing homes, how quickly they are rising and assesses the possibility of a stop in light of questions about the availability of financing.