CONTRIBUTOR
Contributor Image
rupert_watts

Rupert Watts

Senior Director, Strategy Indices, S&P Dow Jones Indices

Rupert Watts is Senior Director, Strategy Indices at S&P Dow Jones Indices. His field focuses on alternate beta strategies, including factor-based indices, dividends, and volatility, as well as quantitative, thematic, and asset-allocation strategies. In his role, Rupert works closely with the sales, marketing, and Global Research & Design departments to bring new ideas to market.
Full Bio
Jul 22, 2020

The S&P Systematic Global Macro Index – Catching the Trend

Trend-following strategies have the potential to outperform during periods of crisis, and that is exactly what the S&P Systematic Global Macro Index (S&P SGMI) did during the COVID-19-related drawdowns. Here we will examine this index and attribute its performance YTD. The S&P SGMI is a trend-following strategy that takes long or short positions in 37…

READ

Jul 17, 2020

Q2 2020 Performance Review for the S&P Risk Parity Indices

Risk appetite returned in the second quarter of 2020, spurred by the easing of COVID-19 lockdowns and aggressive economic stimulus measures. The S&P 500® rebounded, finishing the quarter up 20.5%, and yields on U.S. Treasuries saw little change. In commodities, the S&P GSCI rallied, with energy posting a sharp gain as oil-producing countries agreed on…

READ

May 12, 2020

S&P DJI’s Dividend Indices: The Importance of Incorporating Quality Screens

Over the last few months, the COVID-19 pandemic has taken its toll on the global economy in a way that no one could have expected. Unsurprisingly, many companies have had to reassess their dividend policy—in many cases resorting to cutting, postponing, or even suspending dividend payments. Against this background, it is beneficial to review the…

READ

Apr 14, 2020

Q1 2020 Performance Review for the S&P Risk Parity Indices

It comes as no surprise that the COVID-19 pandemic had a profound effect on global markets in the first quarter of 2020. The S&P 500® suffered steep declines, and U.S. Treasury yields fell (prices rose) as investors favored a flight to quality. In commodities, the S&P GSCI ended March down an extraordinary 29.4%, the largest…

READ

Mar 23, 2020

Putting Defensive Indices to the Test

In January 2019, we highlighted several indices designed to reduce the impact of large equity market drawdowns. Here we analyze the same suite of indices divided across three broad categories: defensive equity, multi-asset, and volatility. This analysis simply reviews performance since the S&P 500®’s high on Feb. 19, 2020, through the close on Friday, March…

READ

Oct 10, 2019

S&P Risk Parity Indices: Positioning for Uncertainty

Uncertainty has been a common theme throughout 2019, and the third quarter proved no different. The quarter was dominated by uncertainties surrounding the U.S.-China trade talks as well as falling global growth forecasts. Demand for high-quality fixed income assets increased, pushing the yield on the 10-Year U.S. Treasury Bond down 34 bps. In spite of…

READ

Jul 18, 2019

S&P Risk Parity Indices Surge on the Back of a Rally in Treasuries

Expectations have diverged in 2019, as equity markets welcomed a dovish Fed, while the bond market exhibited pessimism. In the second quarter, the S&P 500® finished up 4.3% despite ongoing trade tensions, while the yield on the 10-Year U.S. Treasury Bond fell 40 bps to 2.0% and the U.S. Treasury curve remained inverted. The S&P…

READ

Apr 8, 2019

Synchronized Gains Push the S&P Risk Parity Indices to New Highs

The first quarter of 2019 was one of synchronized gains across stocks, bonds, and commodities. Stocks soared, with the S&P 500® up 13.6%, recording its largest first quarter gain since 1998. Amid a dovish tone from the Fed, U.S. Treasury yields declined, with the yield on the 10-year U.S. Treasury Bond falling to its lowest…

READ

Apr 2, 2019

Positioning for Market Volatility Using Passive Strategies

Fluctuating periods of “risk-on” and “risk-off” mean that spikes in equity market volatility and large drawdowns are increasingly common in today’s economy. Exhibit 1 shows events throughout the current market cycle causing notable rises in volatility and large drawdowns. With more of these likely in the future, as our long bull market cycle ages, how…

READ

Jan 8, 2019

Q4 2018 Performance Review for the S&P Risk Parity Indices

As the ball dropped this New Year’s Eve, most investors were more than happy to bid adieu to what proved to be a volatile end to 2018. The fourth quarter began with the October sell-off, which was just the start of a highly volatile quarter. The S&P 500® fell almost 7% in October alone, with…

READ


Sign up to receive Indexology® Blog email updates