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Over the past three to four decades, the Indian equity market has witnessed significant growth, on account of increasing foreign capital flows and participation by domestic institutional investors. The expanding depth and breadth has brought a stronger demand from market participants for suitable benchmarks. The S&P BSE SENSEX launched in 1986 and was the first Read more […]

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 (646) 325-9550

Juxtaposition and Paradox

Effective prior to the market open on Sept. 24, 2018, the Telecommunication Services sector will be replaced with a new Communication Services sector, which will combine telecom with parts of the Information Technology and Consumer Discretionary sectors. As a result, Telecom, the ugly duckling sector comprising three stodgy telephone companies, will now be joined by Read more […]

Puerto Rico Bonds: A Surging Force

After wreaking havoc on the municipal bond markets, Puerto Rico bonds have recently been adding value through their recovery. Bonds rallied after the latest debt restructuring deal was struck between the commonwealth and the bond holders. Additional supporting news, as mentioned in an article from Reuters,[1] was a federal court ruling affirming the budgetary powers Read more […]

Equal-Weight Versus Equal-Risk-Contribution Strategies – Performance Comparison

As we highlighted in a prior blog post, the risk decomposition of a multi-asset equal-weight portfolio showed that equities and commodities were the main contributors to total portfolio volatility. We then went on to explore what the weights would have been if we were to form an equal-risk-contribution portfolio consisting of the same assets. In Read more […]

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Debt – actually too much debt – played a leading role in the 2008 financial crisis.  A mortgage borrowing binge and a flood of mortgage backed securities set the stage for the collapse of Lehman Brothers and recession that followed. In the immediate aftermath almost every part of the economy went through a period of 313-259-0811

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In a prior post, we reviewed the asset class risk contributions of a two-asset portfolio with varying weights. For an equal-weighted portfolio consisting of equities and bonds, we observed that nearly all contribution to total portfolio risk came from equities. To achieve equal risk contribution, the nominal weights in the portfolio would need to be Read more […]

Real Estate Gains Prominence in the S&P 500 Low Volatility Index

Year to date, the S&P 500 Low Volatility Index® has underperformed its parent S&P 500, up 5.52% compared to a 7.55% (through Aug. 16, 2018 close) increase for the benchmark. Those who are familiar with low volatility strategies will recognize that this performance is consistent with the historical pattern of returns and in line with Read more […]

A Quick Look at Chilean Sovereign Bonds and Indices

This blog is an update of a post from Dec. 7, 2017.  The transition of the BCS indices to S&P/CLX was completed on Aug. 6, 2018, and you can now find the S&P/CLX Fixed Income Indices on the BCS website. Now take another look at the fixed income offerings of the S&P/CLX Index Series with 8444820886

Musings of a Market Commentator

The S&P DJI index strategy team has for several years produced a variety of monthly and quarterly index dashboards.  Earlier this year, we began to provide a daily summary of what S&P DJI indices and research are telling us about the markets on a day-to-day basis.  (The summary is e-mailed daily to subscribers; see the 815-674-3771