Category Archives: Strategy

S&P High Yield Dividend Aristocrats Part II: Risk/Return

From Dec. 31, 1999, to June 30, 2019, the S&P High Yield Dividend Aristocrats® generated a total return of 590.3%. Of the contribution, about 57% was from dividend income, while 43% came from price appreciation. In this blog, we will look at the risk/return characteristics in detail. Favorable Risk-Adjusted Returns The S&P High Yield Dividend Read more […]

The Outperformance of the S&P U.S. High Yield Low Volatility Corporate Bond Index since Q4 2018

The S&P U.S. High Yield Low Volatility Corporate Bond Index[1] is designed as a low volatility strategy in the high yield bond universe. The index aims to deliver higher risk-adjusted returns than the underlying broad-based benchmark through mitigating uncompensated credit risk. The back-tested index performance demonstrated the efficacy of the low volatility strategy, with reduced Read more […]

Illustrating the Value of Liquidity

Let’s suppose for a moment that you are given a choice between two hypothetical exchange traded funds (ETFs) tracking the same index.  Fund A has an annual management fee of 0.4% while Fund B has an annual management fee of 0.1%.  At first glance, Fund B seems like the better option: it offers similar performance Read more […]

Using Sectors To Express Views

The S&P 500® is up 21.42% year-to-date and is within striking distance of its all-time high.  Although this may suggest the presence of a strong “risk-on” environment, there are signs that the bull market’s stride is changing.  Defensive assets have fared relatively well amid concerns over economic growth and trade tensions, while the inversion of Read more […]

S&P High Yield Dividend Aristocrats Part I: Strategy Characteristics

With the 10-Year Treasury yield around just 1.5% and the potential for more interest rate cuts on the horizon, yield-seeking investors may become more interested in equity dividend yield strategies. Dividend strategies can satisfy investors’ needs in several regards, namely higher dividend income, favorable risk-adjusted returns, lower volatility, and more downside protection in bearish market Read more […]

Not All Strategies Are Created Equal: A Look at the S&P MARC 5% (ER) Index versus Other Multi-Asset Strategies

In this blog, we compare the S&P MARC 5% Excess Return (ER) Index with a peer group of 16 multi-asset 5% volatility-controlled excess return strategy indices currently in the market.[1] Overall, we observed that the diversification and weighting strategy of the S&P MARC 5% (ER) Index provided potential for upside while avoiding some of the Read more […]

Mapping the S&P 500 Trading Ecosystem

A new paper published today provides a new perspective on the active usage of products linked to S&P DJI indices, and illustrates the network of liquidity that has developed around the S&P 500® and other popular benchmarks. “Active” and “passive” are colloquial terms, and it can be hard to distinguish one from the other at Read more […]

What Mega Insurers’ Turn to Passive Could Mean for Other Large Institutions

Of the more than USD 3.4 trillion invested in ETFs in the U.S.,[1] retail investors comprise the majority of the market. While pensions and endowments have been slow to use ETFs in their investment portfolios, one segment of the institutional market—insurance—has been steadily increasing their usage of ETFs. Earlier this year, S&P DJI analyzed the 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 […]

Rotating Between Growth and Value: The S&P 500® Growth Value Rotator Index

Growth and value are two investment styles based on fundamental analysis. A growth company typically has promising earnings potential and tends to invest more in future growth rather than dividend payouts, while a value company tends to be more established, with stable growth rates and dividend distributions. While most market participants are familiar with single-style Read more […]