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Indices Insights: Q1 2021

Recent Papers and Podcasts on Indices and ETFs

How have recent issuance trends in the bond market affected the composition of bond market indices over time? Are the standards set by high yield indices unrealistically high for the managers of high yield bond funds? Could the act of joining a major index such as the S&P 500 actually be detrimental to that company over time?  

The following papers seek to answer these and other unique questions related to equity and bond indices. For instance, S&P Dow Jones Indices – famous for their SPIVA reports describing the extent of relative underperformance by active portfolio managers – instead assess the rarer years of outperformance.   

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The Evolving Long Credit Universe (MetLife Investment Management, 2021)

MetLife Investment Management highlights the continual evolution of the long credit universe and the impact it has had on the Barclays U.S. Long Credit Index over time.

High Yield Indices Don’t Make Good Benchmarks (Robeco, 2021)

Do high yield indices set standards too high for high yield funds? This is the question that Robeco attempts to answer here, as they investigate the intricacies of the high yield bond market.

Style Bias and Active Performance (S&P Dow Jones Indices, 2021)

This paper takes a unique approach to performance analytics looking at the peculiar years where most active managers outperformed their style benchmarks.

2021 Outlook: Active ETFs are here to stay (Janus Henderson)

For compliance reasons, this paper is only accessible in the United States and Canada

ETF inflows in 2020 reached close to $500 billion. Flows into active ETFs were also at an all-time high. In this brief paper, Janus Henderson discusses the active ETF market and what the future might hold.

Podcast: ETF megatrends (State Street, Jan 2021)

State Street's 11-minute podcast offers a perspective on megatrends that exist within the ETF market, including insight into ETF liquidity and record fixed income ETF inflows.

Custom Indexing: The next evolution of index investing (OSAM, 2020)

O'Shaughnessy Asset Management discusses the trend towards custom indexing, particularly for the RIA and private wealth management markets.

Does Joining the S&P 500 Index Hurt Firms? (2020)

The authors investigate the impact of index inclusion by looking into companies that joined the S&P 500 index over a 20-year window. Surprisingly, the long-term effects may be more negative than positive.

Russell Growth and Value Indexes: The utility of style (FTSE Russell, 2021)

FTSE Russell presents a deep dive into the construction of their growth and value indices. It's complete with their methodology, an explanation of why investment managers may wish to tactically tilt towards certain styles, and a brief analysis of style factors.

The End of LIBOR: Implications for investors (Federated Hermes, Mar 2021)

The LIBOR transition is underway, and the benchmark rate is set to be retired later this year. Federated Hermes examines the other rates that will soon be replacing LIBOR, and whether investors will be impacted by the transition.