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Oct 19, 2021

Performance Update of the S&P/TSX Capped REIT Income Index

Introduced in April 2017, the S&P/TSX Capped REIT Income Index is designed to serve as an income-producing Canadian REIT strategy by overweighting REITs with higher risk-adjusted income distribution yields. The Canadian REIT sector experienced a boom prior to the onset of the pandemic as the index peaked1 on Feb. 20, 2020, its then-highest value since…

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Oct 12, 2021

Risk Parity 2.0 Performance Review

In our two previous blogs on risk parity 2.0 (see here and here), we covered the philosophy and methodological differences between the original S&P Risk Parity Indices and the newly launched S&P Risk Parity 2.0 Indices. This third and final installment of this series now looks at the performance and attribution statistics of the S&P…

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Oct 4, 2021

Breaking the Market Cap Weight with an Index

When people talk about indexes, they are usually referring to market-cap weighted indexes. Market-cap weighting is based on price and outstanding number of shares. One simply takes the number of shares outstanding and multiplies them by the share price to arrive at market cap. This calculation results in the biggest companies commanding the largest weights….

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Oct 4, 2021

S&P Risk Parity 2.0 Index Methodology Highlights

This blog is the second in a three-part series introducing the S&P Risk Parity 2.0 Indices. The first blog highlighted the differences between these new indices and the original ones. In this installment, we will take a closer look at the methodology of the newly launched S&P Risk Parity 2.0 Index Series. Constituent Changes Incorporating…

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Sep 29, 2021

Investing in Real Estate: Global Diversification using a Quantitative Rules-Based Index

A question… Take five major asset classes: U.S. stocks, international stocks, long-term government bonds, Treasury Bills, and REITs. If their respective compound rate of return over the past two decades is compared, which would come in highest? Stocks? Maybe bonds as they’ve ridden yields down to near zero? Nope. REITs win the day. If returns…

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Sep 20, 2021

S&P MAESTRO 5 Index: A Sophisticated Composition Designed to Simplify Risk Management

Get to know the S&P MAESTRO 5 Index, a diversified, multi-asset, multi-factor risk parity strategy designed to help investors hit the right notes across a range of market conditions.

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Aug 26, 2021

Risk Parity Act Two: Presenting the S&P Risk Parity 2.0 Indices

While the rationale behind risk parity is well understood, the implementation frameworks often differ. For example, some implementations are purely passive while others are more active, the way risk is defined can differ, and the underlying instruments used can vary. In 2018, the S&P Risk Parity Indices became the first transparent, rules-based benchmarks offered in…

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Aug 23, 2021

Demystifying Digital Assets: Getting to Know the S&P Cryptocurrency Indices

How are indices helping bring greater transparency to this emerging asset class? S&P DJI’s Tyler Carter and Ved Malla explore the design and objectives of new tools for tracking and evaluating digital currencies.

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Aug 11, 2021

The S&P Dividend Growers Indices: Examination of Risk, Return and Down-Market Performance

This blog, the final in a series of three, reviews the performance of the new S&P Dividend Growers Indices and highlights some of their defensive characteristics. They are designed to track companies with consistently increasing dividends while excluding the top 25% highest-yielding eligible companies. Only companies that increase dividends consecutively for at least 10 and…

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Jul 26, 2021

High-Capacity Construction: The S&P Dividend Growers Indices

In our past blog, Introducing the S&P Dividend Growers Indices, we highlighted the key objectives and investment rationale behind the S&P U.S. Dividend Growers Index and S&P Global Ex-U.S. Dividend Growers Index. We showed that companies that have consistently increased dividends over consecutive years displayed greater financial strength through being generally more profitable with less…

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