Phillip Brzenk

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

Phillip Brzenk is Director, Global Research & Design, at S&P Dow Jones Indices. Phillip is responsible for conceptualization, research and design covering global strategy, factor based, alternative beta and thematic equity indices.

Prior to his current role, Phillip spent five years in the Index Management and Production Group at S&P Dow Jones Indices, where he was involved in the index management of strategy and custom indices.

Phillip is a CFA Charterholder and is a member of the New York Society of Security Analysts and the CFA Institute. He has a B.S. in Management with a concentration in Finance from Georgia Institute of Technology.

Author Archives: Phillip Brzenk

Drawdown Analysis of Low Volatility Indices

One of the objectives of low volatility strategies is to provide higher risk-adjusted returns than their respective benchmarks over the long run, primarily by reducing drawdowns during market downturns.  In the U.S. market, both the S&P 500® Low Volatility Index and the S&P 500 Minimum Volatility Index have shown outperformance over the S&P 500, not Read more […]

Approaches to Achieving Low Volatility

Low volatility has been one of the most in vogue strategies during the past decade, with market participants still cognizant of the drawdowns that occurred during the financial crisis.  At S&P DJI, two of the most common strategies are applied to the S&P 500® universe to capture the low volatility anomaly—which is the observation that Read more […]

Active Versus Passive Funds in Latin America

The S&P Indices Versus Active (SPIVA®) Latin America Scorecard is a semi-annual report that compares the performance of active mutual funds in Latin America against passive benchmarks.  The SPIVA Latin America Year-End 2015 Scorecard covers the equity and fixed income markets in Brazil, as well as the equity markets in Chile and Mexico. In 2015, Read more […]

A Tale of Two Benchmarks: Benchmark Selection

This is the fourth post in a series of blog posts relating to the in-depth analysis of performance differential between the S&P SmallCap 600® and the Russell 2000. The previous posts demonstrate that the different historical risk/return profiles of the two U.S. small-cap benchmarks can be partially explained by the July reconstitution effect and the additional Read more […]

Introducing the S&P Dow Jones Indices Versus Active (SPIVA®) Latin America Scorecard

S&P Dow Jones Indices is proud to expand the SPIVA Scorecard report to the Latin America region.  The SPIVA methodology is designed to provide an accurate and objective apples-to-apples comparison of active funds’ performance versus their appropriate style benchmark indices.  The SPIVA Latin America Scorecard covers the Brazilian, Chilean, and Mexican markets.  A summary of Read more […]

A Tale of Two Benchmarks: Factors

This is the third in a series of blog posts relating to the in depth analysis of performance differential between the S&P SmallCap 600 and the Russell 2000. As we noted in the previous post, the reconstitution effect seen in the Russell 2000 doesn’t fully explain the differences in returns between the S&P SmallCap 600 and Russell Read more […]

A Tale of Two Benchmarks: Reconstitution Effect

This is the second in a series of blog posts relating to the in depth analysis of performance differential between the S&P SmallCap 600 and the Russell 2000. Numerous studies have been conducted on Russell’s annual reconstitution process in June, particularly regarding the downward price pressure placed on the Russell 2000.  As winners from the Russell 2000 Read more […]

The Effects of Interest Rates on Canadian Preferreds

A consideration to take into account when reviewing preferreds is the fact that they are sensitive to changes in interest rates.  The reasoning behind this is due to the structure of preferreds, as many issuances pay a relatively high dividend based on a percentage of par in perpetuity.  Like bonds, preferreds generally exhibit a negative Read more […]

Applying a Laddering Strategy to Preferred Portfolios in Canada

A laddered preferred portfolio uses the same concept as bond laddering, where a portfolio is constructed with instruments of staggering maturities so that a fixed portion of the portfolio matures each year. Rate-reset preferreds are used in a portfolio laddering strategy since they incorporate a reset date every five years. On the reset date, which Read more […]

What’s the Canadian Preferred Market Made Of?

Shift in the Makeup of the Preferred Market As we noted in an earlier post, the Canadian preferred share market has undergone a significant expansion over the past five years, approximately doubling in market size.  In addition to the growth of the market, the Canadian preferred market has seen a shift from most outstanding preferreds Read more […]