Tag Archives: risk parity
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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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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S&P MAESTRO 5 Index: A Sophisticated Composition Designed to Simplify Risk Management
Get to know the S&P MAESTRO 5 Index, a diversified, multi-asset, multi-factor risk parity strategy designed to help investors hit the right notes across a range of market conditions.
- Categories Commodities, Equities, Factors, Fixed Income, Strategy
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commodities, diversification, dividends, Downside Protection, ETFs, gold, indexing, inflation protection, insurance, low volatility, momentum factor, multi-asset, Multi-Factor, quality factor, rising rate protection, risk management, S&P 500 Factors, S&P MAESTRO 5 Index, U.S. Treasuries, VIX Futures
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- Commodities, Equities, Factors, Fixed Income, Strategy
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- commodities, diversification, dividends, Downside Protection, ETFs, gold, indexing, inflation protection, insurance, low volatility, momentum factor, multi-asset, Multi-Factor, quality factor, rising rate protection, risk management, S&P 500 Factors, S&P MAESTRO 5 Index, U.S. Treasuries, VIX Futures
Risk Parity Act Two: Presenting the S&P Risk Parity 2.0 Indices
While the rationale behind risk parity is well understood, the implementation frameworks often differ. For example, some implementations are purely passive while others are more active, the way risk is defined can differ, and the underlying instruments used can vary. In 2018, the S&P Risk Parity Indices became the first transparent, rules-based benchmarks offered in…
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How Liquid Alternatives Deliver Diversification
Examine the potential pros and cons of liquid alternatives and how index innovations may help insurers diversify and protect against risk with S&P DJI’s Rupert Watts and Kelsey Stokes. Watch S&P DJI’s Annual Insurance Summit: https://www.spglobal.com/spdji/en/events/annual-insurance-investment-summit-how-are-insurers-staying-ahead-of-the-curve/#summary
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alternative risk premia, benchmarking liquid alternatives, bottom up index construction, commodities, diversification, ETFs, fixed income, indexed strategies, indexing liquid alternatives, Insurance General Accounts, insurers, liquid alternatives, lower for longer, managed futures, multi-asset, S&P Dow Jones Indices, U.S. Treasuries
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- alternative risk premia, benchmarking liquid alternatives, bottom up index construction, commodities, diversification, ETFs, fixed income, indexed strategies, indexing liquid alternatives, Insurance General Accounts, insurers, liquid alternatives, lower for longer, managed futures, multi-asset, S&P Dow Jones Indices, U.S. Treasuries
S&P Risk Parity Indices Significantly Outperform the Manager Composite in 2020
Plagued by the novel coronavirus pandemic and election uncertainty, 2020 was a year that many are happy to forget. Nonetheless, the S&P 500® finished strong, up 12.15% for the fourth quarter and 18.40% for the year, driven largely by newly developed vaccines and aggressive economic stimulus measures. In the fourth quarter, yields on the U.S….
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Q2 2020 Performance Review for the S&P Risk Parity Indices
Risk appetite returned in the second quarter of 2020, spurred by the easing of COVID-19 lockdowns and aggressive economic stimulus measures. The S&P 500® rebounded, finishing the quarter up 20.5%, and yields on U.S. Treasuries saw little change. In commodities, the S&P GSCI rallied, with energy posting a sharp gain as oil-producing countries agreed on…
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Q1 2020 Performance Review for the S&P Risk Parity Indices
It comes as no surprise that the COVID-19 pandemic had a profound effect on global markets in the first quarter of 2020. The S&P 500® suffered steep declines, and U.S. Treasury yields fell (prices rose) as investors favored a flight to quality. In commodities, the S&P GSCI ended March down an extraordinary 29.4%, the largest…
- Categories Commodities, Equities, Fixed Income
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What’s New in the S&P Risk Parity Indices Methodology?
Launched in August 2018, the S&P Risk Parity Indices were designed to be a transparent, passive alternative to active risk parity funds. The index series comprises several indices that are differentiated by volatility targets in an 8%-15% range. This blog compares the original and new methodologies. After consultations with stakeholders, S&P Dow Jones Indices has…
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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…
- Categories Factors, Strategy
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COVID-19, defensive equity, Dividend Aristocrats, factors, liquid alternatives, liquid alts, low volatility, managed risk, multi-asset, quality, RC2, risk control, risk management, S&P 500 Dividend Aristocrats, S&P 500 Low Volatility, S&P 500 Quality, S&P Systematic Global Macro, smart beta, strategy, VEQTOR
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- COVID-19, defensive equity, Dividend Aristocrats, factors, liquid alternatives, liquid alts, low volatility, managed risk, multi-asset, quality, RC2, risk control, risk management, S&P 500 Dividend Aristocrats, S&P 500 Low Volatility, S&P 500 Quality, S&P Systematic Global Macro, smart beta, strategy, VEQTOR