Tag Archives: multi-asset strategies

Jan 19, 2021

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,…


Jun 19, 2020

Taking Up the Challenge of Turbulent Markets with ESG and Multi-Assets

After a long bull market, the COVID-19 pandemic has shaken the financial markets and put the question of how to earn a smooth return stream over a long period of time back on the table. This has given rise to a strengthening of conviction toward environmental, social, and governance (ESG) investing and risk management. S&P…


Oct 28, 2019

Staying the Course: S&P MARC 5% Q3 2019 Performance

Despite still ending the quarter higher, Q3 2019 was relatively subdued across asset classes when compared to the stellar performance we saw in equities in Q1 and Treasuries and gold in Q2. Exhibit 1 shows that the gains captured in Q1 and Q2 continued to compound in Q3, with the YTD performance of the S&P…


Sep 4, 2019

Not All Strategies Are Created Equal: A Look at the S&P MARC 5% (ER) Index versus Other Multi-Asset Strategies

In this blog, we compare the S&P MARC 5% Excess Return (ER) Index with a peer group of 16 multi-asset 5% volatility-controlled excess return strategy indices currently in the market.[1] Overall, we observed that the diversification and weighting strategy of the S&P MARC 5% (ER) Index provided potential for upside while avoiding some of the…


Sep 10, 2018

The S&P Risk Parity Indices: Methodology

In earlier posts, we analyzed the historical performance, risk contribution versus capital allocation, and return attribution and leverage of the S&P Risk Parity Indices. The results demonstrate that this indices in this series could potentially serve as benchmarks to measure the performance of active risk parity strategies. In this post, we will dig deeper into…


Sep 5, 2018

The S&P Risk Parity Indices: Return Contribution and Leverage

My earlier blog showed that equal risk allocation is different from equal capital allocation. The S&P Risk Parity Indices had roughly equal risk contribution from all three asset classes, while about 60% of the capital was allocated to fixed income. The historical performance of each asset class also showed that equal risk allocation did not…


Aug 27, 2018

The S&P Risk Parity Indices: Risk Contribution Versus Capital Allocation

In a prior blog, we showed that the S&P Risk Parity Indices tracked the average performance of active risk parity funds closer than a traditional 60/40 equity/bond portfolio. In this second part of the blog series, we will examine the risk contribution and capital allocation of these indices. The principles behind risk parity strategies relate…


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