CONTRIBUTOR
Contributor Image
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.
Full Bio
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…

READ

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…

READ

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…

READ

Jul 7, 2020

Viewing 20 Years of Indexed Core Assets Growth through a SPIVA® Lens

In 1973, Princeton professor Burton Malkiel wrote the book, A Random Walk Down Wall Street, laying out a case against the mutual funds of the time as persistently underperforming market indices. Malkiel recommended[i] that the New York Stock Exchange create a fund that simply bought and held stock in the companies comprising the indices. Somewhat…

READ

Jul 1, 2020

Can Top-Performing Funds Stay on Top over Time?

Many market participants attempt to identify future top-performing funds using managers’ track records. This practice implicitly assumes that managers’ successful track records reflect skill and that their superior performance will be repeated in the future. Since genuine skill is likely to persist, one key measure of active management skill is the consistency of a fund’s…

READ

Jun 10, 2020

Active Managers: No Place to Hide

In the first quarter of 2020, the global economy experienced not a slowdown, but a shutdown. As COVID-19 swept the world, outsized market movements became the new norm. The S&P 500® finished its worst quarter (-19.6%) since 2008’s global financial crisis. International equities fared even worse as the S&P International 700 lost 22.4%. While investors…

READ

Jun 2, 2020

The Challenge of Finding Outperforming Active Funds in Canada

The SPIVA® Canada Year-End 2019 Scorecard was released recently. Despite the strong performance of broad equities, 2019 proved to be yet another challenging year for active funds in Canada. Here are a few highlights from the report. Strong Market Performance Did Not Translate to Active Fund Outperformance The S&P/TSX Composite posted its highest annual return…

READ

May 26, 2020

VIX Back to Normal? Not Really

The U.S. equities market had a wild start in 2020. Following the March 2020 sell-off, the S&P 500® posted its largest monthly gain (12.8%) since 1987. Meanwhile, VIX® went from its long-term median to an all-time high within a month before it settled around 30. One thing that has been debated lately is whether VIX,…

READ

May 19, 2020

Risk-Adjusted SPIVA® Year-End 2019 Scorecard: Most Active Managers Still Lagged

In addition to absolute returns, institutional investors also evaluate active funds by risk-adjusted returns. This is not surprising since Modern Portfolio Theory tells us that higher returns tend to be associated with higher risk. Our Risk-Adjusted SPIVA Scorecard was introduced in 2018 as an extension of the standard SPIVA Scorecards. It aims to assess whether…

READ

Apr 7, 2020

What’s New in the S&P Risk Parity Indices Methodology?

Launched in August 2018, the S&P Risk Parity Indices were designed to be a transparent, passive alternative to active risk parity funds. The index series comprises several indices that are differentiated by volatility targets in an 8%-15% range. This blog compares the original and new methodologies. After consultations with stakeholders, S&P Dow Jones Indices has…

READ


Sign up to receive Indexology® Blog email updates