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Berlinda Liu

Director
S&P Dow Jones Indices
Biography

Berlinda Liu is director, Index Research and Design, at S&P Dow Jones Indices.  Berlinda is responsible for quantitative index research and design covering volatility, commodity, and other derivative-based indices and strategies.

Berlinda joined Standard & Poor’s in December 2007.  Prior to S&P, she was an equity derivatives strategist at both Bear Stearns, London, and Credit Suisse, New York, where she joined as a business analyst.

Berlinda is a CFA charter holder.  She holds a bachelor’s degree in international business management from Wuhan University of China, a master’s degree in information system management, and a master’s degree in computational finance from Carnegie Mellon University.

Author Archives: Berlinda Liu

Performance of Selected Tradable Volatility Indices: June 2012

The S&P 500 Index rose 4% in June 2012, and VIX dropped 29% from 24.06 (5/31/2012) to 17.08 (6/29/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index dropped 29.05% and 12.24%, respectively. The S&P 500 Dynamic VIX Futures Index, however, managed to stay nearly flat (-0.58%), [...]

Posted in Financial Markets, Futures and Options, Performance, VIX, Volatility | Leave a comment

Performance of Selected Tradable Volatility Indices: May 2012

May 2012 was a restless month in the US equity market. The S&P 500 Index declined 6% and VIX rose 40% from 17.15 (4/30/2012) to 24.06 (5/31/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index rose 28.71% and 13.13%, respectively. The S&P 500 Dynamic VIX Futures [...]

Posted in Economic Data, Financial Markets, Performance, VIX, Volatility | Tagged , , , , , , , , , , , , | Leave a comment

Reaping Roll Yield from a Quasi Volatility Neutral Strategy

On February 8th, I discussed the use of the inverse VIX ETP (XIV) to collect the roll yield from the VIX futures. When stocks fall and volatility rises, however, such a naked short position drops drastically. From 4/2 to 4/10, XIV dropped from 12.29 to 9.94, and lost 19% of its value (it’s now back [...]

Posted in Education, Futures and Options, Performance, Research, VIX, Volatility | Tagged , , , , , , , , , , , , | 4 Comments

The Other Side of VIX

The last three months saw the VIX spot dropped quickly from 30-ish to 10-ish. No wonder XIV, the inverse ETN to the S&P 500 VIX Short-Term Futures Index, was among the top performing ETPs in January. Its return was 30.88% in January 2012 and 14.02% in December 2011. S&P Indices General Disclaimer XIV collects daily [...]

Posted in Education, Financial Markets, Futures and Options, Performance, Research, VIX, Volatility | Tagged , , , , , , , , , , , , , | 1 Comment

VEQTOR & Other Volatility Reduction Indices

Today I’m going to discuss three prepacked investment solutions that seek positive exposure to the equity market with different volatility reduction approaches: S&P 500 Low Volatility Index: uses stock selection and alternative weighting to minimize portfolio volatility without the use of derivatives or active hedge. PowerShares has issued an ETF (ticker SPLV) that tracks this [...]

Posted in Education, Financial Markets, Futures and Options, Performance, VIX, Volatility | Tagged , , , , | Leave a comment

Exchange Traded Volatility Products in Europe

In Europe, ETFs and ETNs linked to the S&P 500 VIX Futures Indices and the VSTOXX Futures Indices collectively have nearly $380 million in assets ), as listed in Exhibit 1 (note: volume is the average daily volume in December 2011). Exhibit 1: Exchange Traded Volatility Products in Europe (Dec. 2011) Compared with the S&P [...]

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Diversification Properties of VIX Futures Indices

As in the VIX index spot, the S&P 500 VIX Futures Index Series and the S&P 500 tend to move in opposite directions or.  As shown in Exhibit 1, while the correlation between the spot VIX and the futures index series is not perfect, it is a healthy 89% for the short-term index and 80% [...]

Posted in Education, Futures and Options, Performance, Research, VIX, Volatility | Tagged , , , , , , , , , , | 2 Comments

Volatility Benchmarks in Europe

In Europe, regional volatility indices have been developed and published to measure the implied volatility in local markets. VSTOXX, VDAX-NEW, VFTSE follow the CBOE VIX methodology and have become the investor fear gauge in the Europe, German and UK markets. Exhibit 1 shows that these indices are highly correlated. Since Jan. 2000, VSTOXX have been [...]

Posted in Education, Financial Markets, Performance, VIX, Volatility | Tagged , , , , , , , , | Leave a comment

Contango and Roll Cost

  Although VIX spot is generally mean reverting, the S&P 500 VIX Futures indices are return generating time series that trend down for the majority of their history. This downward trend is particularly obvious in the Short Term index. This is because the price received from the sale of the shorter term contract is generally less than [...]

Posted in Education, Futures and Options, Performance, Research, VIX | Tagged , , , , , , , , , | 1 Comment

VIX futures indices only track a fraction of VIX spot return

It has been widely observed that the S&P 500 VIX Short Term and Mid Term Futures indices track only a fraction of the VIX spot return. For example, on 8/8/2011, in response to the US Teasuries downgrade, the S&P 500 fell 6.88%, the biggest drop in 2011 (fingers crossed!). On the same day. VIX spot [...]

Posted in Education, VIX | Tagged , , , , , , , , | Leave a comment
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