Tianyin Cheng

Senior Director, Strategy and Volatility Indices
S&P Dow Jones Indices
Biography

Tianyin Cheng is Senior Director, Strategy and Volatility Indices at S&P Dow Jones Indices. She focuses on alternate beta strategies including factor-based strategies, dividends, and volatility, as well as quantitative, thematic, and asset-allocation strategies. In her role, Tianyin works closely with the sales, marketing, and global research & design departments to bring new ideas to market.

Prior to her current role, Tianyin was a quant analyst and risk manager at Catalytic Investment Group, a Singapore-based multi-strategy fund, equity fund, and family office. She also has two years of experience in quantitative equity research, including a position at Daiwa Capital Markets in Singapore.

Tianyin holds a M.Sc. in econometrics and mathematical economics with Distinction from The London School of Economics (LSE) and a B.Sc. in mathematics with the Lee Kuan Yew Gold Medal award from Nanyang Technological University (NTU), Singapore.

Author Archives: Tianyin Cheng

Why Did Dividend Indices Underperform during the Coronavirus Sell-Off?

Over the past 20 years, the S&P 500® experienced three bear markets with drawdowns greater than 30%—the 2000-2001 Tech Bust, the 2008 Global Financial Crisis (GFC), and the ongoing coronavirus sell-off. During both the Tech Bust and the GFC, various U.S.-focused dividend indices outperformed the S&P 500. However, during the coronavirus sell-off, most dividend indices Read more […]

The Trade-Off between Upside Participation and Downside Protection

Financial market history is rife with prolonged bull market periods and deep corrections. With no proven way to correctly time the market, market participants can stay fully invested and attempt to capture the potential upside, but they also have to endure and recover from the full depths of drawdowns. Hence, some market participants may choose Read more […]

Have Inverse Indices Been Able to Provide the Hedge You Expected?

Since March 9, 2020, we have seen equities and bonds fall together. As bonds fail to provide the diversification benefit in the short term, some investors may choose to use inverse exchange-traded funds as short-term trading tools for an explicit hedge. Inverse strategies typically aim to replicate the daily performance of their underlying indices with Read more […]

The VIX Futures Curve Is in Backwardation

Backwardation is incredibly uncommon in the VIX® futures curve. While the reason behind this term structure is not perfectly understood, the conclusion is clear: long and hold does not work for VIX futures, as the roll cost burns. There are different ways to measure VIX futures backwardation: by using the relationship between the VIX level Read more […]

The Case for Dividend Futures Contracts

The S&P 500® Dividend Points Index tracks dividend payments of S&P 500 constituents, based on a fixed initial market capitalization, independent of equity price changes. The index cannot be invested in directly, but it is tracked by futures contracts listed on the Chicago Mercantile Exchange (CME). Currently, the annual dividend futures are available up to Read more […]

A Case for Dividend Growth Strategies Part 1

There are two major types of dividend strategies: Dividend growers: those targeting stocks that consistently grow their dividends over time High dividend yielders: those focusing on stocks that pay a high dividend yield In our paper “A Case for Dividend Growth Strategies,” we compared dividend growth strategies to high-dividend-yielding strategies and concluded that dividend growers, Read more […]

ESG in India Today

Green infrastructure, especially clean and renewable energy, is at the heart of Indian ESG efforts today. Despite the U.S.’s withdrawal from the Paris Agreement, India stands with its commitments made at Paris. The Indian government’s commitment—in context of the recent ratification of the Paris Agreement—is to reduce emissions by 33% to 35% by 2030 and Read more […]

China’s Green Bond Markets

China has emerged as a global leader in green finance, especially green bonds, and from 2014 to 2016, it was the fastest-growing market in the region for sustainable investing.  The total amount of green-labeled bond issuances amounted to USD 93.4 billion at the end of 2016 and reflected strong China-based issuances (40% of labeled green Read more […]

Asian Asset Owners Are Leapfrogging Into ESG

Sustainable investing has become particularly popular in Europe, across many countries.  In the Asia Pacific region, certain countries such as Japan and Australia have shown stronger interest in ESG thanks to asset owner demand, availability of ESG data, and regulatory pressures.  In the last couple of years, we have seen some of Japan’s largest institutional Read more […]

Natural Resources, a Potential “Natural” Play on Higher Inflation Expectations

As the economy expands and inflation ticks up in the post-election world, fueled by a pledge by President Trump to increase fiscal spending with improvements to America’s crumbling infrastructure, market participants will have to keep in mind the negative effects of increasing prices.  They may want to consider hard-asset-related investments to help maintain the purchasing Read more […]