What, Exactly, Is a Factor? (Axioma, 2019)
What, Exactly, Is a Factor? According to BlackRock, as of June 2018 there was $1.9 trillion invested in factor-based strategies—a figure expected to grow by nearly 80% to $3.4 trillion by 2022.…
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Does Past Performance Matter? The Persistence Scorecard (S&P Dow Jones Indices, Jul 2019)
One key measure of successful active management lies in the ability of a manager or a strategy to outperform their peers repeatedly. Consistent success is the one way to differentiate a manager’s…
The S&P MidCap 400®: Outperformance and Potential Applications (S&P Dow Jones Indices, 2019)
This paper provides an overview of S&P Dow Jones Indices’ methodology for defining the U.S. mid-cap equity universe. It outlines the so-called “mid-cap premium,” analyzing it from factor and…
