Tag Archives: dynamic allocation
Innovating for Insurance: Charting a “Smarter” Path to the S&P 500
How can an index adjust to prevailing market conditions by design? Meet the S&P 500 IQ Index, a dynamic risk control index that uses intraday technology to rapidly respond to changing markets, increasing S&P 500 exposure when markets are stable and leaning into cash during times of volatility.
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Innovating for Insurance: S&P 500 Duo Swift Index
How is intraday volatility rebalancing helping new multi-asset indices rapidly respond to changing markets? Look inside the S&P 500 Duo Swift Index, a diverse, multi-asset, risk-controlled index that is dynamic by design.
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Commodities: Inflation, Interest Rates and the U.S. Dollar
After last week’s highest inflation print in over four decades, the U.S. dollar (USD) rose to its strongest level in 20 years, as measured against a broad basket of currencies. The euro also hit parity with the USD for the first time since 2002 as a consequence of Europe’s front-line exposure to the Russia-Ukraine conflict…
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Inflation Is Here. A Multi-Asset Dynamic Hedging Strategy Is Also Here.
The S&P Multi-Asset Dynamic Inflation Strategy Index was launched in 2021 to offer a more dynamic, rotational approach to integrating inflation hedging than the typical static 5%-10% allocation to commodities. The index dynamically weights asset class constituents monthly based on the underlying inflation regime represented by the latest monthly U.S. Consumer Price Index (CPI) reading.1…
- Categories Commodities, Equities, Fixed Income
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Introducing the S&P Multi-Asset Dynamic Inflation Strategy Index – Part 2
In a previous blog, we highlighted the objective of the S&P Multi-Asset Dynamic Inflation Strategy Index and summarized its methodology. We justified our strategy choice for each inflation regime (high, medium, low) and illustrated how the index dynamically switches between these strategies based on a monthly inflation forecast. In this blog, we will take a…
- Categories Commodities, Equities, Fixed Income
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- Commodities, Equities, Fixed Income
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Introducing the S&P Multi-Asset Dynamic Inflation Strategy Index – Part 1
Inflation is one of the most significant risks to investment returns over the long term. Core equities and conventional bonds tend to deliver below-average returns in rising inflation environments, which can encourage investors to seek out inflation-sensitive assets, such as commodities, inflation-linked bonds, REITs, natural resource stocks, and gold, to protect their portfolios from inflation…
- Categories Commodities, Equities, Fixed Income
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- Commodities, Equities, Fixed Income
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Manage Drawdown and Recovery with Dynamic Allocation
In October 2019, S&P Dow Jones Indices launched the S&P ESG Global Macro Index, an ESG-themed, regionally diversified, volatility-managed, multi-asset index. As discussed in my previous blog, the index has generated stable absolute returns of 5.44% annually, a volatility of 4.89%, and downside protection during extreme market scenarios, based on back-tested performance from Aug. 31,…
Tail Hedging a High Yield Bond Portfolio With VIX® Futures
In one of my previous blog posts, we demonstrated that high yield bonds exhibited a strong negative correlation with VIX and an even stronger one with VIX futures, which comes mostly from down markets. This prompted us to think that VIX futures may hold tail-risk hedging opportunities for high yield bond portfolios. In this blog,…
- Categories Fixed Income, Strategy
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