Bringing you live news and features since 2006 

S&P launches Risk Parity Indices

RELATED TOPICS​

S&P Dow Jones Indices has launched the S&P Risk Parity Indices, its first index family designed to replicate a multi-asset risk parity strategy.

The indices will follow S&P DJI’s standards of transparent, rules-based methodologies for index construction, enabling a reflection of the risk and return characteristics of the investment discipline.

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 realised 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 per cent Target Volatility; S&P Risk Parity Index – 12 per cent Target Volatility and the  S&P Risk Parity Index – 15 per cent Target Volatility.

S&P DJI collaborated with MSR Indices, part of MSR Investments, an industry-leading practitioner of index-tracking market modelling, for index construction.

“Through the S&P Risk Parity Indices, risk parity funds and its managers for the first time can compare performance to a benchmark that embodies the risk/return and asset allocation characteristics of this frequently-used strategy,” says Vinit Srivastava, Managing Director, S&P Dow Jones Indices. “This is a new development for risk parity market participants, as they are now empowered with information to measure their fund managers against a relative benchmark and, due to its bottom-up design, have the opportunity for index-based access to risk parity. We are proud to work with MSR Investments for our first risk parity indices.”

“Before the S&P Risk Parity Indices, many investment companies used a traditional benchmark of a 60/40 portfolio of stocks and bonds, respectively, to measure the relative performance of risk parity funds,” says Michael Rulle, Founder and CEO, MSR Investments. “Unfortunately, many of those standard benchmarks reflect neither the construction nor the risk/return expectations from the strategy. MSR Indices believes that the design of this index family adheres to the strategy’s core meaning and offers a new and investable choice for those participating in this style of investing.”

Latest News

US ETF issuers of active ETFs are facing an increase in fees from the big custodian firms, such as Charles..
ETF data consultant ETFGI reports that assets invested in the global ETF industry reached a new record of USD12.71 trillion..
Calastone has published an ETF white paper which examines several of the processes that take place across the lifecycle of..
Adapting product lines to fit into changing methodologies and meet shifting demand is essential to remaining relevant in the industry..

Related Articles

Taylor Krystkowiak, Themes ETFs
Themes ETFs opened its doors in December 2023, with an introductory suite of 11 ETFs – seven thematic and four...
Konrad Sippel, Solactive
At the end of March, financial index specialist, Solactive, published its 2024 annual report on future trends.  ...
Lorraine Sereyjol-Garros, BNP Paribas
Following changes to the French Monetary and Financial Code and of the French market authority AMF’s General Regulation, it is...
Ed Rosenberg, Texas Capital
Texas Capital Bank first opened its doors back in December 1998 and nowadays offers wealth-management services, as well as commercial,...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by