Sat, Sep 18, 2021
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

S&P Dow Jones Indices launches index family for Risk Parity Strategy

Thursday, August 09, 2018

Matthias Knab, Opalesque:

S&P Dow Jones Indices today announced the launch of the S&P Risk Parity Indices, its first index family designed to replicate a multi-asset risk parity strategy. Delivering an alternative for market participants, the S&P Risk Parity Indices index portfolios are comprised of futures contracts of three asset classes - equity, fixed income and commodities - and use each's long-term realized volatility to measure risk. Each index has a target volatility and allocates weights to the asset classes based on a calculation of measured risk and the application of a leverage factor to achieve the defined target volatility.

The index family includes three indices:

  • S&P Risk Parity Index - 10% Target Volatility
  • S&P Risk Parity Index - 12% Target Volatility
  • S&P Risk Parity Index - 15% Target Volatility

S&P DJI said that comparing the S&P Risk Parity historical performance to a hypothetical traditional 60/40 equity/bond portfolio for the period from January 2003 until May 2018, the S&P Risk Parity Indices delivered reduced downside compared with the traditional 60/40 portfolio during almost every major market shock event since the end of 2003. There was notable performance variance during the global financial crisis, the Europe/Greece debt crisis in 2010, and the downgrade of U.S. debt in 2011.

Historically, the S&P Risk Parity Indices delivered smoother performance and reduced drawdowns over the long run. Regardless of the vo......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. SPACs: The fall of the SPAC market has digital media companies in disagreement about best path forward, Cannae Holdings: SPAC bloodbath provides a good entry point, British car startup Cazoo raises $1bn from SPAC merger, Europe's incoming SPAC boom will create a demand for talent[more]

    The fall of the SPAC market has digital media companies in disagreement about best path forward From CNBC: The digital media industry has reached a strategic crossroads. Earlier this year, special purpose acquisition vehicles (SPACs) appeared to be the long-awaited savior of digital me

  2. Property: Real estate's new moneymaker is not design-driven, it's alternative, Two Sigma building quant tools to hunt real estate bargains[more]

    Real estate's new moneymaker is not design-driven, it's alternative From Forbes: There has been a recent shift of attention in the real estate market as to the types of investments which make the strongest returns. In the past, it's always been a combination of good design, prim

  3. PE/VC: Private equity GPs, LPs alike working on diversity and inclusion, Chinese regulator vows to crack down on private equity, venture capital funds, The VC playbook for portfolio companies: learning from the Covid-19 crisis[more]

    Private equity GPs, LPs alike working on diversity and inclusion From PIonline.com: Private equity general partners and limited partners are doing more to increase diversity in private markets, according to a report released Tuesday by the Institutional Limited Partners Association.

  4. PE/VC: Private equity continues to lead fund closings, Venture capital firms are fighting to throw money at cleantech[more]

    Private equity continues to lead fund closings From PIonline.com: Among private fund closings, private equity funds have led the pack starting in 2011, based on data collected by Pensions & Investments. During those years, private equity's share has ranged from 56% to 72% of the total

  5. PE/VC: Climate tech is hot, but VCs can't forget about water, Five top trusts to tap into the private equity boom[more]

    Climate tech is hot, but VCs can't forget about water From Crunch Base: "It is unequivocal that human influence has warmed the atmosphere, oceans, and land." These fiery words come from the latest landmark U.N. report detailing intensifying, universal climate change impacts. They cover