Phillip Brzenk

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

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

Prior to joining Global Research & Design, Phillip spent five years in the index management and production groups at S&P DJI, where he was involved in the index management of strategy and custom indices.

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

Author Archives: Phillip Brzenk

Reducing Interest Rate Risk in a Low Volatility Strategy

In prior posts, we reviewed the impact of rising interest rates on the S&P 500® Low Volatility Index returns. We showed that the low volatility index had negative exposure to rising interest rates, and thus has historically underperformed the S&P 500 in periods when interest rates rose significantly. In this post, we look at the Read more […]

Performance Analysis of Liquidated Funds in Brazil – Part II

In this blog, we estimate the impact of survivorship bias on the performance of active equity funds in Brazil compared with the benchmark, the S&P Brazil BMI. We do so by replicating the outperformance report from the SPIVA® Year-End 2017 Latin America Scorecard, while removing all the liquidated and merged funds. We noted in a Read more […]

Introducing the Persistence Scorecard for Latin America

Following similar studies performed by S&P Dow Jones Indices on active funds in the U.S. and Australia, we introduce the Persistence Scorecard to the Latin America region. The two aforementioned studies have demonstrated that top-performing active funds have little chance of repeating that success in subsequent years. To determine if similar conclusions can be made Read more […]

Interest Rate Risk of Low Volatility Indices – Part II

In a previous blog, we performed preliminary exploration of rising interest rate exposure of the S&P 500® Low Volatility Index. In this blog, we continue the analysis to see if there is a relationship between the magnitude of interest rate change and magnitude of active return of the low volatility index relative to the S&P Read more […]

Interest Rate Risk of Low Volatility Indices

A topic commonly brought up when interest rates rise is the impact that rates have on the performance of low volatility indices. Several studies[1][2] have shown that low volatility portfolios have exposure to rising interest rate risk. One of the main drivers of this exposure stems from the bond-like characteristics of sectors usually favored by Read more […]

SPIVA® Latin America – Active Versus Passive in Latin America

The SPIVA Latin America Year-End 2017 Scorecard, which tracks the performance of active funds in Brazil, Chile, and Mexico relative to category benchmarks, was recently released. To ensure that the report is as relevant as possible to market participants, the S&P/BMV IRT, the total return version of the S&P/BMV IPC, is being introduced as the Read more […]

How Global Are the S&P 500®, the S&P MidCap 400®, and the S&P SmallCap 600® Style Indices?

In a prior post, we looked at the global exposure of the S&P 500. Given the large number of multi-national corporations based in the U.S., approximately 29% of S&P 500 revenues came from overseas in 2017. Beyond large-cap companies, do regional and country exposures change as investment style changes? In this blog, we add to Read more […]

How Global Is the S&P 500?

The S&P 500® is widely considered one of the best single gauges of the U.S. equity market. Composed of 500 companies that are domiciled in the U.S., the index captures approximately 82%[1] of the total U.S. equity market value. An index of U.S. companies may lead one to assume that the index is only reliant Read more […]

The Trump Rally – Or Is That Global Sector Diversification?

This is the final post in our blog series that examines the domestic large-cap equity market performance, as represented by the S&P 500®, since the 2016 U.S. election.[1] We use the geographic revenue exposure of S&P 500 constituents to better understand whether or not Trump’s proposed U.S.-centric economic policies have had an impact on the Read more […]

The Trump Rally – A Macroeconomic Perspective

As noted in a previous blog, The Trump Rally – One Year Later, the Domestic Revenue Portfolio underperformed the foreign revenue portfolio during the one-year period since the 2016 U.S election.  We showed that currency movements may have negatively impacted the performance of the Domestic Revenue Portfolio. To better understand the currency risk of the Read more […]