Tag Archives: Tim Edwards

S&P 500 Dividend Futures: Divining Time To Recovery

In 2019, the S&P 500® companies in aggregate paid a record $485 billion in dividends.  This year, the figure could be closer to $415 billion, and it could be another seven years before they recover to 2019 levels, according to futures prices.  Dividend futures, that is. Index futures based on the level of the S&P Read more […]

Exploring VIX® in Volatile Markets

How can VIX data help us understand the current market environment? S&P DJI’s Tim Edwards explores what recent historical highs for VIX could mean for equity and commodity markets moving forward. Get the latest Risk & Volatility dashboard on Indexology: https://spdji.com/indexology/risk-management/risk-volatility-dashboard

With VIX Above 80, Expect 5% Daily Swings in the S&P 500

Volatility – it is sometimes said – takes the elevator up but takes the stairs down.  Like seismic activity, volatility can rise precipitously, but tends to decay more slowly; aftershocks and tremors continue to roil markets after any major repricing occurs.  The practical consequence is that, once the markets become volatile, they tend to remain Read more […]

Equity Markets React to the U.K. Election

At the General Election on Thursday, U.K. voters handed a resounding victory to Boris Johnson’s Conservative party.  The British electorate awarded the party with 365 out of 650 seats, the largest outright majority of any U.K. government since 2001, and the biggest victory for the Conservative party since Margaret Thatcher’s final victory in 1987. Exhibit Read more […]

Mapping the S&P 500 Trading Ecosystem

A new paper published today provides a new perspective on the active usage of products linked to S&P DJI indices, and illustrates the network of liquidity that has developed around the S&P 500® and other popular benchmarks. “Active” and “passive” are colloquial terms, and it can be hard to distinguish one from the other at Read more […]

Implied Plunge Protection

Ever since its formation in response to the “Black Monday” crash of October 1987, the United States “Working Group on Financial Markets” has been accompanied by (persistently-denied) rumours that the group used government funding to make large equity purchases whenever the market fell – giving rise to its informal moniker of the “Plunge Protection Team”.  Read more […]

When to Get Active with Sectors

When do sectors matter, and what can you do about it?  Sometimes the sector composition of an equity portfolio strongly affects its returns.  At other times, single stock effects or overall market effects dominate. Sector-based products such as ETFs and futures have been around for decades, but recently they have attracted growing interest.  Exhibit 1 Read more […]

Higher Concentrations in the S&P 500 could lead to Equal Weight Outperformance

At last Friday’s close, S&P Dow Jones assigned a number of technology and consumer discretionary names into a new “Communication Services” sector classification.  Relative to the old Telecommunication Services definitions, the sector has grown from 3 to 22 companies (not counting dual share listings) and is less concentrated in absolute terms.  However, Communications Services remains Read more […]

Momentum’s Minsky Moment?

U.S. equity funds following momentum (or relative strength) strategies have generally performed well recently, and their performance has been rewarded with inflows.  This is important because momentum, uniquely among investment styles, is self-reinforcing – until it isn’t. Typically, as factors become more popular, their excess returns are likely to diminish.  For example: the more value Read more […]

Technology may be de-FANGed, but could the CHANDs leave you hanging?

It has not been a great start to the week for the technology sector, with large-cap tech stocks dragging down equity indices across the globe. With the current media focus on the industry behemoths, suitably arranged into fun acronyms (“FANGs” and so on), investors in the U.S. tech sector might be concerned about the risks Read more […]