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Tag Archives: liquid alts

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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Jul 22, 2020

The S&P Systematic Global Macro Index – Catching the Trend

Trend-following strategies have the potential to outperform during periods of crisis, and that is exactly what the S&P Systematic Global Macro Index (S&P SGMI) did during the COVID-19-related drawdowns. Here we will examine this index and attribute its performance YTD. The S&P SGMI is a trend-following strategy that takes long or short positions in 37…

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Apr 23, 2020

Liquid, Long/Short Alternative Strategies Performed Strongly in Q1 2020

With the stock market in the midst of a historic slump, many investors may be looking to alternatives to protect against a prolonged downturn. The S&P Strategic Futures Indices are designed to measure the performance of passively constructed, liquid, and transparent solutions by spreading risk evenly across global futures markets utilizing a long/short trend-following strategy…

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Apr 22, 2020

Indexing Managed Futures Strategies

Managed futures strategies generally tend to be trend following, which means that when an individual asset shows a clear price uptrend (or downtrend), the strategy will hold a long (or short) position in the asset. The strategies use a wide variety of quantitative models that utilize highly liquid, regulated, exchange-traded financial derivatives across equity, fixed…

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Mar 23, 2020

Putting Defensive Indices to the Test

In January 2019, we highlighted several indices designed to reduce the impact of large equity market drawdowns. Here we analyze the same suite of indices divided across three broad categories: defensive equity, multi-asset, and volatility. This analysis simply reviews performance since the S&P 500®’s high on Feb. 19, 2020, through the close on Friday, March…

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