Tag Archives: S&P 500

Tapering Away

Next week the Federal Open Market Committee, meeting for the first time since July, is widely expected to announce the tapering of its quantitative easing program.  Whether the Fed begins to reduce its bond purchases now or later this year, most observers recognize its inevitability.  Indeed, as we’ve noted before, even the anticipation of tapering Read more […]

Commodity Beta: Hogs-Wild? Hardly. Energy Fills the Thrill!

If you believe the S&P 500, which is market cap weighted, is considered the U.S. stock market beta, then the S&P GSCI, which is world-production weighted (analogous to market cap weighted), is the logical choice for commodity beta.  Typically, using an index, namely the S&P 500, as the benchmark for beta is standard practice in Read more […]

Beta, Smart and Dumb

The idea of “smart beta” is gaining increased acceptance, although not without some controversy.  I have to confess that I really dislike the term “smart beta,” and not just because I didn’t invent it.  “Alternative beta” I can live with, or “factor” indices, or “strategy” indices — but “smart” beta leaves me cold. Which is Read more […]

Fear Gauge Spikes: Let’s Play Hot Potato

For what risk does the commodity investor get paid? At what point is the fear gauge so high the risk gets passed like a hot potato? The answers to these questions will help explain why post the global financial crisis there has been a link between VIX spikes and commodity losses. Let’s address the first Read more […]

The Fox and the Hedgehog

The ancient Greeks tell the story of the fox and the hedgehog.  The fox, it is said, knows many things, but the hedgehog knows one big thing. Anyone who reads the Wall Street Journal or listens to CNBC will recognize the vulpine nature of much of the financial world.  One key to investment success is Read more […]

Index Rehab: Is Backwardation Back In-Style?

My colleague, David Blitzer, is discussing index construction in his blog series “Inside the S&P 500”, and so far has reviewed selecting stocks and the float adjustment. While the index construction principles of transparency, liquidity, and systematic rules-based methodologies are widely similar between equities, commodities and other asset classes, there are details that distinguish the asset Read more […]

Sell in May and go away. You’re sure?

We’re all familiar with that old adage.  The theory says that trading slows during the summer months, markets can be a bit more turbulent and you’re better off closing out your positions, getting to the beach and enjoying your Pimm’s Cup in relative peace. But as my colleague Craig Lazzara pointed in his recent post, Read more […]

That Was Easy

If every month were like July, equity investors would have an easy life.  The most striking thing about July’s U.S. equity market performance was how consistently good it turned out to be.  The S&P 500 was up +5.09%, with the Mid Cap 400 ahead of that pace (+6.20%) and the Small Cap 600 further ahead Read more […]

A Conventional Down Month

Whenever you want to argue that rising interest rates are bad for the stock market, count June 2013 as a point in your favor.  The long end of the US Treasury yield curve notched a -4.07% decline in June (following May’s -6.71% tumble), as rates on the S&P/BGCantor 20+ Year US Treasury Index rose by 66 Read more […]

Volatility: Love It or Leave It

Investors are rightly concerned about the future course of equity prices, especially in the context of the Federal Reserve’s bruited tapering of QE3, and it’s obviously true that equity market volatility has increased sharply since the beginning of May. Rising volatility typically means lower stock prices — the correlation of the S&P 500 and the Read more […]