Category Archives: Blitzer’s Insights

Index Rehab: Is Backwardation Back In-Style?

My colleague, David Blitzer, is discussing index construction in his blog series “Inside the S&P 500”, and so far has reviewed selecting stocks and the float adjustment. While the index construction principles of transparency, liquidity, and systematic rules-based methodologies are widely similar between equities, commodities and other asset classes, there are details that distinguish the asset Read more […]

Inside the S&P 500: Float adjustment

Most stock indices where the weight of each stock depends on its market value are “float adjusted” meaning that the index only counts those shares that are available to investors and excludes closely held shares or shares held by governments or other companies. The S&P 500 moved to float adjustment in in 2004-2005.  Initially many Read more […]

New Highs for the S&P 500 and the Dow Jones Industrials

The S&P 500 closed at a new all-time high this afternoon at 1675.02, up from the previous record at 1669.16 set on May 21st and the Dow Jones Industrial Average closed at 15460.92 setting a record and up from 15409.39 on May 28th. What does a new high mean? Good copy for journalists, positive reinforcement Read more […]

Inside the S&P 500: Selecting Stocks

This is the first of a series of posts describing how S&P Dow Jones Indices and its US Index Committee maintain the S&P 500. Future posts will cover how stocks react when added to the index, the mix of sectors and industries in the index, the Index Committee and how the index can be used Read more […]

What the Jobs Report Means for Interest Rates

The employment report released on July 5th showing 195,000 new jobs and the unemployment rate remaining at 7.6% increase the likelihood that the Fed will begin to slow bond purchases late this year, end bond purchases in mid-2014 and begin to raise the Fed Funds rate in 2015.  As explained on the Atlanta Federal Reserve’s Read more […]

Who Dun it?

Beginning in May and then aggressively following Fed Chairman Ben Bernanke’s June 19th press conference interest rates rose.  The yield on the 10 year treasury both led the way and spooked the markets world-wide.  Analysts raised the specter of an early end to QE3, cited Bernanke’s comments and hinted that the central bank was about Read more […]

Remembering the Great Bond Rally

The markets and the pundits are calling for an upturn in interest rates and announcing the end of the Great Bond Rally. Rather than lamenting the end of low interest artes, it is worth looking back at how we got here to consider the prospects going forward. The bond rally goes back decades to inflation Read more […]

“Hello Passive, goodbye active”

The title is in quotes because it comes from FTFM, a supplement to the Financial Times reporting recent developments in the long running debat about active vs passive investing. The SPIVA reports published by S&P Dow Jones Indices  show that actively managed mutual funds under-perform their index benchmarks more often than not.  For a long time this Read more […]

Damage Control

Compared to a month ago, every major developed equity market is down, some by double digits while bond yields have climbed over the same period.  The U.S. markets – both stocks and bonds — are among the least damaged.  For investors the questions are when will it end?, where can one hide? and why? When Read more […]

After the crunch

Friday afternoon and the markets survived the Fed’s pre-announcement of QE3’s demise.  The big move was in the yield on 10 year treasuries, now about 2.5%, the highest since August of 2011.  VIX broke through 20 the first time this year. The stock market is down but has only retraced its steps back to late Read more […]