Tag Archives: liquid alternatives
S&P Risk Parity 2.0 Index Methodology Highlights
This blog is the second in a three-part series introducing the S&P Risk Parity 2.0 Indices. The first blog highlighted the differences between these new indices and the original ones. In this installment, we will take a closer look at the methodology of the newly launched S&P Risk Parity 2.0 Index Series. Constituent Changes Incorporating…
- Categories Multi-Asset
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How Liquid Alternatives Deliver Diversification
Examine the potential pros and cons of liquid alternatives and how index innovations may help insurers diversify and protect against risk with S&P DJI’s Rupert Watts and Kelsey Stokes. Watch S&P DJI’s Annual Insurance Summit: https://www.spglobal.com/spdji/en/events/annual-insurance-investment-summit-how-are-insurers-staying-ahead-of-the-curve/#summary
- Categories Multi-Asset
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alternative risk premia, benchmarking liquid alternatives, bottom up index construction, commodities, diversification, ETFs, fixed income, indexed strategies, indexing liquid alternatives, Insurance General Accounts, insurers, lower for longer, managed futures, multi-asset, risk parity, S&P Dow Jones Indices, U.S. Treasuries
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- Multi-Asset
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- alternative risk premia, benchmarking liquid alternatives, bottom up index construction, commodities, diversification, ETFs, fixed income, indexed strategies, indexing liquid alternatives, Insurance General Accounts, insurers, lower for longer, managed futures, multi-asset, risk parity, S&P Dow Jones Indices, U.S. Treasuries
The S&P Systematic Global Macro Index – Trending to New Highs
The S&P Systematic Global Macro Index (S&P SGMI) is a trend-following strategy that takes long or short positions in 37 constituent futures across equites, commodities, fixed income, and FX. In 2020, the S&P SGMI did particularly well during the COVID-19-related drawdowns, finishing March up 11.3%, and closing the year at an all-time high. Thus far…
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S&P Risk Parity Indices Significantly Outperform the Manager Composite in 2020
Plagued by the novel coronavirus pandemic and election uncertainty, 2020 was a year that many are happy to forget. Nonetheless, the S&P 500® finished strong, up 12.15% for the fourth quarter and 18.40% for the year, driven largely by newly developed vaccines and aggressive economic stimulus measures. In the fourth quarter, yields on the U.S….
- Categories Strategy
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The S&P Systematic Global Macro Index – Catching the Trend
Trend-following strategies have the potential to outperform during periods of crisis, and that is exactly what the S&P Systematic Global Macro Index (S&P SGMI) did during the COVID-19-related drawdowns. Here we will examine this index and attribute its performance YTD. The S&P SGMI is a trend-following strategy that takes long or short positions in 37…
- Categories Commodities, Equities, Fixed Income
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- Commodities, Equities, Fixed Income
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Q2 2020 Performance Review for the S&P Risk Parity Indices
Risk appetite returned in the second quarter of 2020, spurred by the easing of COVID-19 lockdowns and aggressive economic stimulus measures. The S&P 500® rebounded, finishing the quarter up 20.5%, and yields on U.S. Treasuries saw little change. In commodities, the S&P GSCI rallied, with energy posting a sharp gain as oil-producing countries agreed on…
- Categories Commodities, Equities, Fixed Income
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Liquid, Long/Short Alternative Strategies Performed Strongly in Q1 2020
With the stock market in the midst of a historic slump, many investors may be looking to alternatives to protect against a prolonged downturn. The S&P Strategic Futures Indices are designed to measure the performance of passively constructed, liquid, and transparent solutions by spreading risk evenly across global futures markets utilizing a long/short trend-following strategy…
- Categories Commodities, Equities, Fixed Income
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- Commodities, Equities, Fixed Income
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Indexing Managed Futures Strategies
Managed futures strategies generally tend to be trend following, which means that when an individual asset shows a clear price uptrend (or downtrend), the strategy will hold a long (or short) position in the asset. The strategies use a wide variety of quantitative models that utilize highly liquid, regulated, exchange-traded financial derivatives across equity, fixed…
- Categories Commodities, Equities, Fixed Income
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Q1 2020 Performance Review for the S&P Risk Parity Indices
It comes as no surprise that the COVID-19 pandemic had a profound effect on global markets in the first quarter of 2020. The S&P 500® suffered steep declines, and U.S. Treasury yields fell (prices rose) as investors favored a flight to quality. In commodities, the S&P GSCI ended March down an extraordinary 29.4%, the largest…
- Categories Commodities, Equities, Fixed Income
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Putting Defensive Indices to the Test
In January 2019, we highlighted several indices designed to reduce the impact of large equity market drawdowns. Here we analyze the same suite of indices divided across three broad categories: defensive equity, multi-asset, and volatility. This analysis simply reviews performance since the S&P 500®’s high on Feb. 19, 2020, through the close on Friday, March…
- Categories Factors, Multi-Asset
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COVID-19, defensive equities, Dividend Aristocrats, factors, liquid alts, low volatility, managed risk, multi-asset, quality, RC2, risk control, risk management, risk parity, S&P 500 Dividend Aristocrats, S&P 500 Low Volatility, S&P 500 Quality, S&P Systematic Global Macro, smart beta, strategy, VEQTOR
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- Factors, Multi-Asset
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- COVID-19, defensive equities, Dividend Aristocrats, factors, liquid alts, low volatility, managed risk, multi-asset, quality, RC2, risk control, risk management, risk parity, S&P 500 Dividend Aristocrats, S&P 500 Low Volatility, S&P 500 Quality, S&P Systematic Global Macro, smart beta, strategy, VEQTOR