Tag Archives: leverage
A Dynamic Approach to Volatility Management
How can indices seek to maintain a pre-defined level of implied volatility? Look inside the S&P 500 Futures Defined Volatility Indices, a dynamic, rules-based approach to volatility management helping market participants align investments with risk appetites systematically.
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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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Have Inverse Indices Been Able to Provide the Hedge You Expected?
Since March 9, 2020, we have seen equities and bonds fall together. As bonds fail to provide the diversification benefit in the short term, some investors may choose to use inverse exchange-traded funds as short-term trading tools for an explicit hedge. Inverse strategies typically aim to replicate the daily performance of their underlying indices with…
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The Quality Factor Beat the S&P 500 in 2019
In 2019, U.S. equities posted double digit gains, with the S&P 500® returning 31.49%—its best year since 2013 and second-best in a decade. This continued strong performance highlights the potential difficulty of beating the S&P 500.[1] The question then arises: what strategy (if any) outperformed the S&P 500 in 2019? Our latest S&P 500 Factor…
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Bank loan tracked by the S&P/LSTA U.S. Leveraged Loan Index is down 0.34% so far in June while high yield bonds are down 1.51%.
U.S. Treasury Bonds: Treasury notes and bond as measured by the S&P/BGCantor US Treasury Bond Index started the year in negative territory, finally getting their head above water on a consistent basis around the beginning of April. The positive returns did not last long as they slipped into negative territory on May 13th and have…
- Categories Fixed Income
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