Tag Archives: Index Investment Strategy
Man Bites Dog: The Year for Active Management?
For at least five years, we’ve noticed that, despite historical performance, active managers regularly proclaim that this year will at last be the time when active management shows its value. I suspect that most advocates of indexing derive at least some guilty pleasure from observing this ritual. (I know I do.) So, we want to ask, if you know…
- Categories Equities, S&P 500 & DJIA
- Other Tags
Low Turnover in the S&P 500 Low Volatility Index Reflects Broader Market Dynamics
It’s been almost a year since the COVID-19 pandemic hit the U.S., but despite the disruption it brought to daily life, the U.S. equity market has performed remarkably well—rallying powerfully after a sharp decline in March 2020. Through Feb. 18, 2021, the S&P 500® was up 24% since the end of 2019. In the same period, the S&P…
- Categories Equities
- Other Tags
- Categories
- Equities
- Other Tags
Efficient Markets and Irrational Exuberance
Recent headlines have reflected the extraordinary behavior of GameStop Corp.; the company’s stock rose from $18.84 at year-end 2020 to $325 at the close on Jan. 29, 2021, then declined to $90 in the first two trading days of February. At year-end, GameStop was the 314th largest stock in the S&P SmallCap 600®. By the end of January…
- Categories Equities, S&P 500 & DJIA
- Other Tags
Big Sector Shifts in Low Volatility Composition
In March, COVID-19 inspired volatility roiled markets across the globe. Similarly, the volatility of the S&P/TSX Composite also jumped. The increase, however, was not balanced across all sectors. We see this manifested in the most recent rebalance for the S&P/TSX Composite Low Volatility Index. Effective after the close of trading April 24, 2020, Exhibit 1…
- Other Tags
A Changed World
The world looks much different than it did three months ago. Since then equities hit their all-time peak, entered a bear market, exited a bear market, and currently sit 15% off peak with sustained higher volatility levels. The latest rebalance for the S&P 500 Low Volatility Index®, effective after the close of trading today, rotated…
- Categories Equities, Factors, Strategy
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta strategies, strategic beta, strategy index
- Other Tags
- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta strategies, strategic beta, strategy index
New Heights for S&P/ASX Linked Volumes
Since its debut in April 2000, the S&P/ASX Index Series has served as the de facto measure of value and performance for the Australian stock market, becoming an integral part of the country’s market infrastructure. 2020 has tested the resilience of that infrastructure; as pandemic fears gripped financial markets, stocks ricocheted, and trading in index-linked…
- Categories Equities
- Other Tags
- Categories
- Equities
- Other Tags
S&P 500 Dividend Futures: Divining Time To Recovery
In 2019, the S&P 500® companies in aggregate paid a record $485 billion in dividends. This year, the figure could be closer to $415 billion, and it could be another seven years before they recover to 2019 levels, according to futures prices. Dividend futures, that is. Index futures based on the level of the S&P…
- Categories Equities, Factors, S&P 500 & DJIA, Strategy, Uncategorized
- Other Tags
- Categories
- Equities, Factors, S&P 500 & DJIA, Strategy, Uncategorized
- Other Tags
Low Volatility in Europe and Asia
“The rich, the poor, the high, the low Alike the various symptoms know”–The Influenza Winston Churchill, 1890 By this point, the infamous COVID-19 has made its way around the world and wreaked havoc through equity markets across the globe. We’ve already highlighted the value of protection in the U.S. and Canada. Pandemics show no respect…
- Other Tags
The Virtue of Protection
It remains to be seen what the full economic impact of the COVID-19 virus will be, but it is already clear that no equity market has escaped unscathed. (In fact, most of them have been scathed rather badly.) The Canadian equity market was humming along in 2020 through February 20, 2020, with the S&P/TSX Composite…
- Other Tags
The Irrelevance of Value in Low Volatility
Low volatility strategies have achieved considerable market acceptance in the aftermath of the 2008 financial crisis. For most of the 12 years since then, skeptics have argued that low vol might become, and sometimes that it has become, overvalued. It’s an understandable concern, especially in light of the continuing popularity of low volatility strategies. We…
- Other Tags