Tag Archives: low volatility
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…
- Categories Equities, Factors, Strategy
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defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility strategies, rebalance, risk management, S&P TSX Composite, S&P/TSX Capped Composite Sector Indices, sectors, smart beta strategies, strategic beta, strategy index
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- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility strategies, rebalance, risk management, S&P TSX Composite, S&P/TSX Capped Composite Sector Indices, sectors, smart beta strategies, strategic beta, strategy index
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
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defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, 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
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- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, 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
Factors and Factor Indices
There is a subtle but important distinction between factors and factor indices. “Factor” denotes an attribute with which long-term excess returns are thought to be associated. Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense. A number of other variables – prominently including momentum, low volatility,…
- Categories Equities, Factors, S&P 500 & DJIA, Strategy
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Exploring Low Volatility over the Long-Term in India
How does the low volatility factor respond to periods of crisis and do the results tend to hold over the long term in India? S&P DJI’s Koel Ghosh takes a closer look at the low volatility anomaly in India. https://www.youtube.com/watch?v=ply2mfEE0xc&t Read more here: https://beta.indexologyblog.com/2020/03/24/low-volatility-strategies-in-times-of-high-volatility/.
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The Defensive Advantage
A wise man told me years ago that there are some things you can’t get if you go after them directly. If you’ve ever watched someone trying to sound interesting, you’ll realize the truth of my friend’s observation. There are plenty of interesting people out there, of course, but they achieve that status by pursuing…
- Categories Equities, S&P 500 & DJIA, Strategy
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Low Volatility Response in Brazil
The S&P/B3 Low Volatility Index Celebrates Five Years of Outperforming Its Benchmark The COVID-19 pandemic hit the Brazilian equity market hard, causing the worst monthly performance since September 1999.[1] As measured by the S&P Brazil BMI, the Brazilian equity market lost 29.80% in March 2020. The S&P/B3 Low Volatility Index exceeded its benchmark by 640…
- Categories Factors
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Delivering Low Volatility Exposure to High Yield Bonds
The last few weeks have been challenging for business the world over. People working from home and aggressive social distancing have led to business contraction and the expectation of rising default. On March 19, 2020, an S&P report expected that the U.S. trailing 12-month speculative-grade corporate default rate would rise to 10% within the next…
- Categories Factors, Fixed Income, Strategy
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Putting Defensive Indices to the Test
In January 2019, we highlighted several indices designed to reduce the impact of large equity market drawdowns. Here we analyze the same suite of indices divided across three broad categories: defensive equity, multi-asset, and volatility. This analysis simply reviews performance since the S&P 500®’s high on Feb. 19, 2020, through the close on Friday, March…
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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…
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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…
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