Tag Archives: S&P 500

Index Rehab: Is Backwardation Back In-Style?

My colleague, David Blitzer, is discussing index construction in his blog series “Inside the S&P 500”, and so far has reviewed selecting stocks and the float adjustment. While the index construction principles of transparency, liquidity, and systematic rules-based methodologies are widely similar between equities, commodities and other asset classes, there are details that distinguish the asset Read more […]

Sell in May and go away. You’re sure?

We’re all familiar with that old adage.  The theory says that trading slows during the summer months, markets can be a bit more turbulent and you’re better off closing out your positions, getting to the beach and enjoying your Pimm’s Cup in relative peace. But as my colleague Craig Lazzara pointed in his recent post, Read more […]

That Was Easy

If every month were like July, equity investors would have an easy life.  The most striking thing about July’s U.S. equity market performance was how consistently good it turned out to be.  The S&P 500 was up +5.09%, with the Mid Cap 400 ahead of that pace (+6.20%) and the Small Cap 600 further ahead Read more […]

A Conventional Down Month

Whenever you want to argue that rising interest rates are bad for the stock market, count June 2013 as a point in your favor.  The long end of the US Treasury yield curve notched a -4.07% decline in June (following May’s -6.71% tumble), as rates on the S&P/BGCantor 20+ Year US Treasury Index rose by 66 Read more […]

Volatility: Love It or Leave It

Investors are rightly concerned about the future course of equity prices, especially in the context of the Federal Reserve’s bruited tapering of QE3, and it’s obviously true that equity market volatility has increased sharply since the beginning of May. Rising volatility typically means lower stock prices — the correlation of the S&P 500 and the Read more […]

A PIP Off the Old Block

The staff of the Financial Industry Regulatory Authority (FINRA) recently issued an opinion letter discussing the use of “pre-inception index performance (PIP)” data in communications about exchange-traded financial instruments.  Importantly, the letter permits the use of PIP data (i.e., backtested or simulated results) in presentations to institutions (although not to retail investors). No good deed Read more […]

A safer bet?

http://www.pensionsage.com/pa/a-safer-bet.php Read the article in PensionsAge by Peter Carvill, looking at the shifting commodities landscape. In recent decades, investment by pension funds into commodities has been seen as something approaching what may be described as a way to counter-balance the risks from traditional stocks and bonds. As The Role of Commodities in an Institutional Portfolio states: Read more […]

Low Volatility: Success or Failure?

One of the consequences of May’s shift in leadership of the U.S. equity market from defensive to cyclical sectors has been the underperformance of most (if not all) low volatility strategies. Does this mean, as some commentators have suggested (e.g. see http://www.indexuniverse.com/hot-topics/18860-when-low-volatilitty-bites-back.html?showall=&fullart=1&start=4), that low volatility strategies “failed?” Making a judgment of success or failure, about Read more […]

Equity Auguries?

The market for credit default swaps is typically not well-understood by equity investors (myself emphatically included).  This is unfortunate, since the price of insuring a company’s bonds (which is what a CDS measures) can sometimes provide insight into the same company’s equity securities. For example, in September 2012, the S&P 500 financials sector began to Read more […]

Joining the Index Club

The Wall Street Journal recently urged its readers to “Beware of Index Funds That Aren’t” (http://on.wsj.com/Xycv7P). If some soi-disant index funds “aren’t,” which ones “are” — or, at the most basic level, what is an index? A good working definition of an index is this: an index is a portfolio in which constituent and weighting Read more […]