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berlinda_liu

Berlinda Liu

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

Berlinda Liu is Director, Global Research & Design at S&P Dow Jones Indices (S&P DJI). In this role, she is responsible for quantitative research & design covering volatility, commodity, and other derivative-based indices and strategies.
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Oct 12, 2021

Risk Parity 2.0 Performance Review

In our two previous blogs on risk parity 2.0 (see here and here), we covered the philosophy and methodological differences between the original S&P Risk Parity Indices and the newly launched S&P Risk Parity 2.0 Indices. This third and final installment of this series now looks at the performance and attribution statistics of the S&P…

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Oct 4, 2021

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…

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Sep 27, 2021

Mid- and Small-Cap Fund Managers Lost Their Advantage – SPIVA U.S. Mid-Year 2021 Scorecard

The SPIVA® U.S. Mid-Year Scorecard continues to show that active funds’ strong absolute returns do not always translate into relative success compared with their benchmarks. In 15 out of 18 categories of domestic equity funds, the majority of actively managed funds underperformed their benchmarks. Over the 12-month period ending June 30, 2021, 58% of large-cap…

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Jun 15, 2021

Will Inflation Actually Be Transitory?

“Inflation is always and everywhere a monetary phenomenon in the sense that it is and can be produced only by a more rapid increase in the quantity of money than in output.” – Milton Friedman  “If we do see what we believe is likely a transitory increase in inflation … I expect that we will…

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Mar 25, 2021

Risk-Adjusted SPIVA Year-End 2020 Scorecard: No Evidence to Support Superior Risk Management Skills of Active Managers

Modern Portfolio Theory tells us that higher returns tend to be associated with higher risk. Active managers tend to boast about their risk management skills and claim that they can generate higher returns than passive funds on a risk-adjusted basis. The Risk-Adjusted SPIVA® Scorecard assesses the risk-adjusted returns of actively managed funds against their benchmarks…

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Mar 18, 2021

Highlights of the SPIVA Canada Year-End 2020 Scorecard

Although 2020 was a year that offered ample opportunities for stock pickers to shine, most Canadian active fund managers in five of the seven categories tracked by the SPIVA® Canada Year-End 2020 Scorecard underperformed their benchmarks over the past year. The Canadian equity market was not spared from the COVID-19 shock in 2020. Nevertheless, major…

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Mar 11, 2021

SPIVA U.S. Year-End 2020 Scorecard: Passive Continued Its Winning Streak

In a year that brought a pandemic, volatility, and policy stimulus, asset prices rose nearly across the board. However, positive absolute returns did not necessarily translate into success for active managers relative to their benchmarks. According to the SPIVA® U.S. Year-End 2020 Scorecard, most active fund managers in the U.S. underperformed their benchmarks over the…

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Nov 5, 2020

While Fixed Income Yields Remain Low, Theta Gang Generates Income through Covered Calls

In response to the economic ravages of COVID-19, central banks and investors around the world went on a bond buying spree, pushing fixed income yields down and complicating the search for portfolio-generated income. While yields are generally off their March 2020 extremes, by historical standards they remain quite diminished. One alternative strategy to generate supplemental…

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Sep 29, 2020

SPIVA® U.S. Mid-Year 2020 Scorecard: Convergence to Underperformance

According to the SPIVA U.S. Mid-Year 2020 Scorecard, most active fund managers in the U.S. underperformed the market over the past year. Among actively managed domestic equity funds, 67% lagged the S&P Composite 1500® during the 12 months ending June 30, 2020, and the majority of active managers underperformed their benchmarks in 11 out of…

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Aug 20, 2020

Recalled to Life: The S&P SmallCap 600’s Persistent Outperformance after the Russell Reconstitution

S&P DJI’s paper, A Tale of Two Benchmarks (first published in in 2009 and later updated in 2015 and 2019), showed that the S&P SmallCap 600® has structurally outperformed the Russell 2000, primarily benefiting from S&P DJI’s index inclusion criteria for profitability, liquidity, and public float. The paper also delves deeper into several secondary attribution…

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