Berlinda Liu

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

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.

Berlinda joined Standard & Poor's in December 2007. Prior to S&P DJI, she was an equity derivatives strategist at both Bear Stearns, London, and Credit Suisse, New York, where she joined as a business analyst.

Berlinda is a CFA charterholder. She holds a bachelor’s degree in international business management from Wuhan University of China and a master’s degree in information system management from Carnegie Mellon University, in addition to her master’s degree in computational finance from Carnegie Mellon.

Author Archives: Berlinda Liu

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 more […]

SPIVA U.S. Year-End 2019 Scorecard: Active Funds Continued to Lag

2019 was a remarkable year for risky assets. All benchmarks tracked in the SPIVA U.S. Year-End 2019 Scorecard delivered positive returns. Information Technology-heavy and more internationally diversified companies of the S&P 500® pushed the index to its second- and fourth-highest annual return since 2001 and 1990, respectively. In addition, the S&P MidCap 400® (26.2%) and Read more […]

Why the S&P 500® VIX® Short-Term Futures Index Rose More than VIX in March

Markets are down over 20%, COVID-19 is a global pandemic, negative global growth is looming—all of that just in the first 20 days of March! During same time period, VIX rose 65%, while the S&P 500 VIX Short-Term Futures Index jumped 175%. With a long-term beta of 0.7 to spot, a question might be—why did Read more […]

The Best Offense Is Defense – Why VEQTOR Outperformed Last Week

Six minutes after trading began on the New York Stock Exchange on March 9, 2020, the S&P 500® plummeted 7% and market-wide circuit breakers kicked in for the first time since the stock market crash of Oct. 27, 1997. However, the indices fell again later in the week and triggered another circuit breaker on Thursday, Read more […]

Volatility Did Not Help Active Managers’ Persistence Scores

While many investors appear to believe that winners persist over time, the most recent S&P Persistence Scorecard underscores the well-known disclaimer that “past performance is no guarantee of future results”: irrespective of asset class or style focus, few fund managers consistently outperformed their peers. Some market participants believe that active managers with successful track records Read more […]

SPIVA® U.S. Mid-Year 2019 Highlights

The SPIVA U.S. Mid-Year 2019 Scorecard was published recently. The report shows that the strong rally in the domestic equities market in the first half of 2019 did not necessarily translate into success for active managers. Active managers’ performance relative to the benchmark indices showed significant discrepancies in different market segments. For the one-year period Read more […]

Does Size Affect the Active versus Passive Score of Small-Cap Mutual Funds?

In my earlier blog, we explored the effect of size on active large-cap equity funds’ performance. We ranked all long-only active large-cap equity funds by their size at the beginning of the observation period and divided them into quartiles, with the first quartile being the largest and the fourth being the smallest. We found that, Read more […]

VIX® Dropped Below S&P 500® Realized Volatility

While everyone has been concerned about the inverted yield curve, the CBOE Volatility Index® (VIX) has been under the 21-trading-day realized volatility of the S&P 500 since Aug. 16, 2019. Since volatility traders care not only about what is expected but also what actually transpired, the spread between implied volatility and realized volatility is one Read more […]

Size Matters for Active Large-Cap Fund Performance

Over the 15-year period ending March 31, 2019, the biggest 25% of active large-cap equity funds managed about 90% of all the assets under management (AUM) held in active large-cap equity funds. This may suggest that investors’ fund selections skew toward larger funds. But is bigger always better? This topic has been widely debated: although Read more […]

For Active Managers, Staying on Top Is Not Enough

S&P DJI’s Mid-Year 2019 Persistence Scorecard may offer a hint of encouragement for active fund managers. Performance persistence, measured over the three-year period ending March 2019, rose from prior periods. Among the domestic equity funds that were in the top quartile as of March 2017, 11.36% were able to go on and maintain their top-quartile Read more […]