Extreme stock market volatility between 2000 and 2010 produced flat returns and led to what many have referred to as a ‘lost decade’. Annualized volatility for the S&P 500® has averaged about 20% since 2000, compared with 14% in the 1990s.
In this paper, the Index Research & Design team at S&P Dow Jones Indices explores the potential role of multi-asset solutions in the indexing landscape.
Ever since the publication of Professor Harry Markowitz’s work in 1952, modern portfolio theory has been one of the cornerstones of asset allocation and portfolio construction.
An Introduction to the Change in Realized Roll Yields: Redefining How Forward Curves Are Measured
Liquidity risk premia are shifting, as the world economy may be entering a new paradigm driven by expansion of demand. This potential economic shift could significantly affect commodities.
Anyone who’s ever read a prospectus knows that “past performance is no guarantee of future results.” The sentence has almost assumed the status of a cliché, but one of the less-appreciated properties of clichés is that they’re true.
Investors often look to commodities as a way to potentially gain enhanced portfolio diversification, protection against inflation, and equity-like returns.
A cross-asset class review
By virtue of its intrinsic properties, copper is used extensively in many manufacturing industries, from the production of power cables to consumer electronics.
Using the Standard Roll strategy to compare their performances versus an extended Dynamic Roll strategy, this research paper analyzes a basket of 24 major commodities included in the S&P GSCI®.