Category Archives: Strategy

Potential Applications of the Low Volatility High Dividend Concept in Brazil

Historically, the percentage of dividend payers in Brazil has ranged between 71% and 87%,[1] making it a propitious environment for implementing dividend-focused strategies. The highest-yielding stocks in high-yield strategies often come with greater portfolio volatility,[2] and Brazil is no exception. This blog explores the rationale behind the implementation of a low volatility high dividend strategy Read more […]

Beyond Equal Weighting: Reverse Cap Weighting the S&P 500

Consistently outperforming the S&P 500® is difficult. The S&P Dow Jones Indices SPIVA report shows that less than 18% of funds outperformed the S&P 500 (SPX) over the five-year period ending 12/31/2018. So how is it that the S&P 500 Equal Weight Index (SPEWI), a passive index comprised of the very same 500 stocks, accomplished Read more […]

Cboe S&P 500 Buffer Protect Indexes: First Outcome Period Recap

On June 28, 2019 the July Series of the Cboe S&P 500 Buffer Protect Indexes completed their first one-year outcome period (6/28/18 – 6/28/19). The Cboe S&P 500 Buffer Protect Indexes are designed to afford investors defined exposures to the S&P 500 Price Index, where the downside buffer levels, upside growth potential, and outcome period Read more […]

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 more […]

Implied Plunge Protection

Ever since its formation in response to the “Black Monday” crash of October 1987, the United States “Working Group on Financial Markets” has been accompanied by (persistently-denied) rumours that the group used government funding to make large equity purchases whenever the market fell – giving rise to its informal moniker of the “Plunge Protection Team”.  Read more […]

2019 Mid-Year Persistence Scorecard – Key Highlights

When it comes to investing, market participants often consider past performance to be indicative of future results.  The same goes for fund selection.  Notwithstanding the evidence showing that most active managers in most regions typically underperformed their benchmarks, consistently beating peers is one way to differentiate a manager’s luck from skill.  Here are a few Read more […]

Carlos Urzúa Resignation and Low Volatility’s Response

Mexico’s Finance Minister, Carlos Urzúa, abruptly resigned on July 9, 2019 over policy disagreements with the current government.[1] Market participants reacted negatively, generating volatility in the Mexican peso’s exchange rate, which fell 2.3% right after the announcement,[2] and the country’s equity market, and bringing a trial by fire for the S&P/BMV IPC Risk Weighted Index Read more […]

S&P MARC 5% (ER) Index Q2 2019 Performance: Bitten by the Gold Bug

The second quarter of 2019 reinforced the upside potential of S&P MARC 5% Excess Return (ER) Index diversification, which compliments traditional risk management benefits. With the equities and fixed income components having good, but not stellar, Q2 performance, we have to look to gold to understand the driver of the S&P MARC 5% (ER) Index’s Read more […]

Managing Geographical Revenue Exposure in the Australian Equities Market

The S&P/ASX 200, widely considered a performance barometer for the Australian equities market, comprises 200 of the most liquid and highest market capitalization stocks listed on the Australian Securities Exchange (ASX). Nevertheless, the performance of this index is not solely influenced by Australian economic activities, but also by global economic conditions, depending on the individual Read more […]

Dividend Payers Outperform Non-Dividend Payers in Colombia

In a previous blog,[1] we explored historical dividend payers in the Colombian equity market, focusing on the S&P Colombia BMI as the underlying universe, highlighting the number of dividend payers, market capitalization, and GICS® sector distribution. Building on that, we now examine if the Colombian market has rewarded dividend payers over non-payers. As a starting Read more […]