Tag Archives: target volatility

Apr 7, 2020

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…

READ

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…

READ

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…

READ

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…

READ

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…

READ


Sign up to receive Indexology® Blog email updates