Tag Archives: S&P Risk Control Indices
Introducing the S&P Commodity Risk Premia Diversifier TCA Index
The author would like to thank Arlene Habib for her contributions to this blog. Diversification is a foundational principle within asset allocation, as it seeks to reduce risk and mitigate drawdowns by combining exposure across different asset classes—like equities, fixed income and commodities—that generally do not move in tandem. Commodities, like energy and precious metals,…
- Categories Multi-Asset
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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,…
- Categories Multi-Asset, Sustainability
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Wash Your Hands of Market Timing with Risk Control
The market highs of February 2020 already seem like a strange, distant past, in which people socialized, worked in offices, and were blissfully unappreciative of their abundant supply of toilet paper. Life has changed. With that change, the S&P Europe 350® lost a third of its market capitalization in just a month. The market may…
- Categories Strategy
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2016 Presidential Election: Can Put Options Help Reduce Portfolio Volatility?
No other recent presidential elections have been as divided as this year’s. As the objectivity and credibility regarding poll numbers and media coverage of the candidates are being questioned, the U.S. economy and the capital market are facing an unusual level of political risk. Market participants may seek various tools to hedge the downside risk,…
- Categories Factors, S&P 500 & DJIA, Strategy
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- Factors, S&P 500 & DJIA, Strategy
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