Tag Archives: rebalance
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
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, risk management, S&P TSX Composite, S&P/TSX Capped Composite Sector Indices, sectors, smart beta strategies, strategic beta, strategy index
- Other Tags
- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, Index Investment Strategy, low volatility, low volatility strategies, 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
Protection and Participation
Through Feb. 20, 2020, the S&P 500 Low Volatility Index® is up 5.9% compared to a gain of 4.7% for the S&P 500. Equities roared out of the gate in 2020 but a hiccup in late January allowed Low Vol to catch up and eventually overtake the S&P 500. Those who are familiar with low…
- Categories Equities, Factors, Strategy
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, 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, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, 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
Winning by Losing Less
Except for a couple of hiccups, the U.S. stock market has more or less hummed along in an upward trajectory for 2019. Through October, the S&P 500 is up 23%. What is surprising is that the S&P 500 Low Volatility Index® outperformed the benchmark by almost 3%, gaining 26% over the same period. This is…
- Categories Factors, S&P 500 & DJIA, Strategy
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, 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
- Categories
- Factors, S&P 500 & DJIA, Strategy
- Other Tags
- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, 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
The Calm That Was
Through the end of July, equities had netted a nice gain for 2019 (though the picture looks a lot different so far in August). Unusually, the S&P 500 Low Volatility Index® outperformed in an environment when it has typically lagged its benchmark. (The S&P 500 gained 20.2%, while the low volatility index was up 20.8%,…
- Categories Equities, Factors, Strategy
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, Index Investment Strategy, low volatility, low volatility strategies, 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
Little Churn in the Latest Low Volatility Rebalance
Market gains in the first four months in 2019 more than made up for what it lost in the turbulent last quarter of 2018 as the S&P 500 jumped 18%. Predictably enough, the S&P 500 Low Volatility Index® trailed the broader benchmark (up a “mere” 16% in the first four months), although Low Vol has…
- Categories Equities, Factors, Strategy
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, technology, utilities
- Other Tags
- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, technology, utilities
Low Volatility Index Shows Its Utility
The S&P 500 Low Volatility Index® made a valiant comeback in late 2018 after trailing for most of the year. The strategy index finished the year well by just staying in positive territory at a 0.27% gain, when the broader S&P 500 declined 4%. It was also the best performing factor index among those based…
- Categories Equities, Factors, Strategy
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, technology, utilities
- Other Tags
- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, technology, utilities
The Virtues of Slow and Steady
For most of 2018, the S&P 500 Low Volatility Index® underperformed its parent S&P 500. Through the first nine months of 2018, the S&P 500 climbed 11% while the S&P 500 Low Volatility Index was up only 6%. Then October came and, in one month of acute volatility, the low volatility index recaptured parity with…
- Categories Equities, Factors, Strategy
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, technology
- Other Tags
- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, technology
Real Estate Gains Prominence in the S&P 500 Low Volatility Index
Year to date, the S&P 500 Low Volatility Index® has underperformed its parent S&P 500, up 5.52% compared to a 7.55% (through Aug. 16, 2018 close) increase for the benchmark. Those who are familiar with low volatility strategies will recognize that this performance is consistent with the historical pattern of returns and in line with…
- Categories Equities, Factors, Strategy
-
Other Tags
defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, technology
- Other Tags
- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, 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, technology
One Big Problem In July For One Small Cap Index
Much attention has been drawn to small caps by top tier media since the small cap premium is now the biggest in eight years and the fifth biggest in history. The outperformance of the small cap stocks versus the large caps is being driven by the current economic environment of growth, rising interest rates, inflation and…
- Categories Equities
- Other Tags