Akin to the well-known concept of bond duration, equity duration measures the sensitivity of equities to interest rates. Although this field of research is relatively new and the concept is rarely used in practice, we believe equity duration is of significant importance in immunization, risk...

The index effect, or the excess returns of a stock added to a leading index, is one of the most researched pricing anomalies in finance.Is the index effect shrinking? To answer this question, we study the index effect for headline indices of five of the biggest equity markets in the world: U.S....

Since the beginning of the decade, flows to institutional and retail products in the international small cap space have grown at a faster clip than flows to international large caps.The reasons for this are fairly obvious - greater alpha generating opportunities and higher diversification...

For more than 50 years, the investment community has used Standard & Poor's Earnings and Dividend Rankings, commonly known as Quality Rankings, to establish the quality of common stocks. These rankings reflect the variability of the growth and stability of a company's earnings and dividends. We...

We analyze the low volatility effect in the U.S equity market with a focus on the common properties of various low volatility strategies. We examine the two major approaches to constructing low volatility portfolios and apply them to the U.S. equity market: mean-variance optimization-based...

Annually, S&P Indices publishes an updated report and history of duration for the S&P 500. We acknowledge that equity duration estimation is an evolving science. We also believe that a regularly available and updated source of equity duration data will make this important metric more accessible...

The phrase “past performance is not an indicator of future outcomes” (or some variation thereof) can be found in the fine print of most mutual fund literature. Yet due to either force of habit or conviction, investors and advisors consider past performance and related metrics to be important...

Over the past decade, key trends have developed that will help shape the future direction of growth for the index investment industry. As the once distinct line between active and passive management has become blurred, one direction of potential growth is the indexation of multi-asset solutions....

Since 1926, dividends have contributed to approximately one-third of total return while capital appreciations have contributed two-thirds. Therefore, both sustainable dividend income and capital appreciation potential are important to total return expectations. Managers use stable and increasing...