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Melody Duan

Senior Analyst, Multi-Asset Indices, S&P Dow Jones Indices

Melody Duan is Senior Analyst, Multi-Asset Indices at S&P Dow Jones Indices (S&P DJI). Her team is responsible for the product management of multi-asset and option indices, which cover a variety of outcome-oriented index solutions including managed volatility, retirement, dynamic allocation, inflation hedging, sustainability and absolute return.
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Mar 31, 2022

A Streamlined Approach to Multi-Asset with the S&P Target Risk Indices

Multi-asset strategies have been getting more attention the last few years from market participants seeking pre-packaged solutions to diversification. As more strategies evolve to be increasingly complex, including black-box allocation algorithms, multiple signals, and 10 or more components, we felt it was time to highlight a simpler, transparent index-based approach. The S&P Target Risk Indices…

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Feb 11, 2019

S&P Pure Style Indices: Implications of Higher Return and Correlation Spread

The S&P Style Indices and S&P Pure Style Indices take distinct approaches in differentiating between value and growth factors. In past blogs,[1] we examined how differences in index construction can affect the performance of the indices in both series over a long-term investment horizon. In this blog, we examine how the suite of pure style…

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Jan 30, 2019

Reviewing S&P Pure Style Indices from a Sector Perspective

The S&P Pure Style Indices select and weight securities based on their style scores, unlike the traditional S&P Style Indices. In our previous blog post, we demonstrated that differences in index construction play a major role in the performance differential between the S&P Style Indices and the S&P Pure Style Indices. We estimated that the…

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Jan 28, 2019

S&P Pure Style Indices Versus S&P Style Indices: The Impact of Security Selection and Weighting on Excess Returns

The S&P Style Indices and the S&P Pure Style Indices have distinct long-term performance differences and risk/return characteristics. We highlighted those in a prior blog where we reviewed the two approaches to constructing traditional style and pure style indices. What are the drivers of the return differentials between pure style and style? We know that…

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