Berlinda Liu

Director, Global Research & Design
S&P Dow Jones Indices
Biography

Berlinda Liu is Director, Global Research & Design, at S&P Dow Jones Indices. In this role, she is responsible for quantitative research & design covering volatility, commodity, and other derivative-based indices and strategies.

Berlinda joined Standard & Poor's in December 2007. Prior to S&P, she was an equity derivatives strategist at both Bear Stearns, London, and Credit Suisse, New York, where she joined as a business analyst.

Berlinda is a CFA charter holder. She holds a bachelor’s degree in international business management from Wuhan University of China, a master’s degree in information system management from Carnegie Mellon University, in addition to her master’s in computational finance from Carnegie Mellon.

Author Archives: Berlinda Liu

April: A Testing Month for VIX Traders

Shorting VIX® was among the top strategies in the past year.  XIV and SVXY both went up over 50% in Q1 2017 (~15% in March alone), almost doubled in the past six months, and returned ~180% over the past 12 months (see Exhibit 1).  However, the declining VIX spot level can only explain part of Read more […]

S&P 500 Buy-Write Strategies: How Much Income Should You Expect?

Buy-write strategies, also known as covered calls, are a staple offering for income-seeking market participants who sell, or “write,” call options against shares of assets they already own in order to generate income from the option premium.  However, the option seller forfeits the upside potential of the asset and is obligated to sell the asset Read more […]

2016 Presidential Election: Can Put Options Help Reduce Portfolio Volatility?

No other recent presidential elections have been as divided as this year’s.  As the objectivity and credibility regarding poll numbers and media coverage of the candidates are being questioned, the U.S. economy and the capital market are facing an unusual level of political risk.  Market participants may seek various tools to hedge the downside risk, Read more […]

Could VEQTOR Fail to Deliver?

In my last post, I explained VEQTOR’s allocation process and purpose. Some suspicion rises about its relatively short back test history and even shorter live data. Let’s talk about its performance and discuss the scenario when it fails to deliver what it’s supposed to, that is, hedging downside risk. VEQTOR was launched on November 18, Read more […]

What is VEQTOR?

Recently, we have seen quite a bit of discussion on the S&P VEQTOR Indices. Most of the discussion focuses on its use of VIX futures, complicated allocation process, short back test history, and performance drag. This post is meant to to clarify a couple of the unique characteristics of this index. Initially it is worth Read more […]

The VIX Factor

After a strong 2013, the US equity market took a dive in January 2014 and dropped more than 3%. Is it a temporary market correction or something more substantial? Everyone has his own answer. Regardless of your outlook of the market, January has reminded us that market volatility is still one of the major risks Read more […]