Tag Archives: risk

VIX Back to Normal? Not Really

The U.S. equities market had a wild start in 2020. Following the March 2020 sell-off, the S&P 500® posted its largest monthly gain (12.8%) since 1987. Meanwhile, VIX® went from its long-term median to an all-time high within a month before it settled around 30. One thing that has been debated lately is whether VIX, Read more […]

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 Read more […]

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 Read more […]

The Best Offense Is Defense – Why VEQTOR Outperformed Last Week

Six minutes after trading began on the New York Stock Exchange on March 9, 2020, the S&P 500® plummeted 7% and market-wide circuit breakers kicked in for the first time since the stock market crash of Oct. 27, 1997. However, the indices fell again later in the week and triggered another circuit breaker on Thursday, Read more […]

How S&P DJI’s Fixed Income Indices Harness Data and Technology to Power the Markets of the Future

Thanks to the clever ad campaign by Policygenius, riders of the NYC subway have been reminded that we were promised glass-domed houses, flying cars, and vacation homes in outer space by 2020. Although robot maids may have come true via Amazon’s Alexa, they definitely fall short of the robot maid Rosie from the cartoon The Read more […]

Mid Caps Less Risky Than Large Caps?

In November, there was high market volatility in response to at least a few major events including the U.S. midterm elections, Brexit, G20 and Fed Chair Powell’s comments.  The risk (measured by 30-day annualized volatility) on Nov. 30, 2018 for the S&P 500 was 20.6%, which is 3.5 times higher than its risk of 5.9% Read more […]

October Outperformance for the S&P Risk Parity Indices

Traditionally known for spooky ghosts and witches, October was also a scary month for investors. In spite of an end-of-month rally, global stocks recorded their worst monthly loss since 2011, wiping out USD 5 trillion of investor value. Furthermore, investors were spooked by a rare simultaneous drop in bond prices. In short, this was not Read more […]

Can small-cap outperformance continue?

Small caps have materially outperformed large caps in 2018, with the S&P SmallCap 600 outpacing the S&P 500 7.80% to 2.58% between Dec. 29, 2017, and May 25, 2018.1 Below, I highlight what I believe to be the drivers of small-cap returns this year, and why I believe the trend could continue. Tax cuts have Read more […]

Understanding the Asset Class Risk Contribution of the S&P/BMV Mexico Target Risk Indices

The S&P/BMV Mexico Target Risk Index Series comprises four multi-asset class indices that are designed to serve as benchmarks for the Mexican pension system based on the risk tolerance levels of plan participants. Generally, younger individuals with longer time horizons until retirement will have greater risk tolerance and therefore higher exposure to risky assets such Read more […]

Rieger Report: Corporate Junk Bonds – “Danger, Will Robinson!”

The bond markets are certainly not “Lost in Space”1. There is good rationale as to why the bond markets are in the position they are today; compressed spreads are the result of low rates coupled with strong demand out pacing supply for yield assets.   However, the homogenization of the US corporate bond markets is worrisome and should Read more […]