Equal weighting is factor indifferent. It randomizes factor mispricing and is thus an attractive option for proponents of the theory that the market is inefficient and, at times, misprices factors. In January 2003, the S&P 500 Equal Weight Index (EWI) was introduced, pioneering the subsequent...

Volatility has emerged has an important asset class in the last decade. Often referred to as "the investor fear gauge," it can be a potentially useful diversification tool in a broad equity portfolio, especially under down markets. However, it is not possible to trade the spot VIX directly. With...

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...

Survivor-Bias-Free U.S. Mutual Fund Database provides the underlying data. To accommodate CRSP release schedules, SPIVA is now published semi-annually with a 6 to 8 week lag.Over the last five years, the S&P 500 has outperformed 60.8% of actively managed large-cap U.S. equity funds; the S&P...

The phrase “past performance is not an indicator of future outcomes” is a common fine print line found in all mutual fund literature. Yet due to either force of habit or conviction, both investors and advisors consider past performance and related metrics to be important factors in fund...

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....