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Berlinda Liu

Director, Multi-Asset Indices, S&P Dow Jones Indices

Berlinda Liu is Director, Multi-Asset Indices at S&P Dow Jones Indices (S&P DJI). Her team is responsible for the product management of multi-asset, options and volatility indices.
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May 12, 2022

S&P 500 Weekly Options Now Expire Five Days a Week

Since their debut in 1983, S&P 500 options have grown into the most liquid index options in the market today.1 In 2005, Cboe introduced PM-settled S&P 500 weekly options (SPXW) to meet market demand for additional trading frequency. The first weekly options expired only on Fridays, with Monday and Wednesday expirations added over time. On…

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May 2, 2022

S&P Risk Parity Indices Outperformed in Q1 2022

The S&P 500® lost 4.6% in the first quarter of 2022, with the market shaken by high inflation, the new variant of COVID-19 and geopolitical tensions in Europe. The S&P Risk Parity Indices, designed to offer diversified risk exposure across asset classes, stood the test and outperformed equities, as well as other active and passive…

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Mar 15, 2022

Markets Remained Volatile, But History Shows Return to Calm

The Russia-Ukraine conflict is now in its third week and markets remain volatile. The major U.S. equity benchmarks dropped about 10% from their peaks, with the exception of the Energy sector. The CBOE Volatility Index (VIX®), the so-called “fear gauge,” has been hovering above 30, which is the 90th percentile of its historical value. Its…

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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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