Tag Archives: S&P 500 Low Volatility
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, low volatility strategies, rebalance, risk management, S&P 500, 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, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta strategies, strategic beta, strategy index
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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Cushioning the Decline
With the S&P 500 down -14.7% for calendar 2020, and -18.8% since its peak in late February, investors are rightly concerned to identify strategies that might help to mitigate the ongoing decline. A number of defensive factor indices have performed relatively well in March, but the leader for the year so far is S&P 500…
- Categories Equities, Factors, S&P 500 & DJIA, Strategy
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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…
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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
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defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, rebalance, risk management, S&P 500, 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, institutional investor, low volatility, low volatility strategies, rebalance, risk management, S&P 500, 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
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defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta strategies, strategic beta, strategy index
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- Factors, S&P 500 & DJIA, Strategy
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- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, rebalance, risk management, S&P 500, 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
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defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, 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, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta strategies, strategic beta, strategy index
Understanding the ESG Consequences of Factor-Based Investing: Part 1
“Sustainable investing must go mainstream. Fortunately, the momentum is growing.” – Mark Carney Mark Carney’s statement underpins the sentiment of the investment community, where environmental, social, and governance (ESG) considerations have entered the forefront of investors’ priorities. Whether factor indices have ESG principles integrated or not, understanding a factor’s influence on ESG characteristics,…
- Categories Factors, Sustainability
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Four Decades of the Low Volatility Factor
Many financial theories are based on the idea that riskier investments should offer higher returns. However, there is a bank of evidence – accumulated since the 1970s – showing that less volatile stocks posted higher risk-adjusted returns across a number of time horizons, regions, and market segments, historically. S&P Dow Jones Indices produces a range…
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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
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defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, S&P 500, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta strategies, strategic beta, strategy index, technology, utilities
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- defensive strategies, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, S&P 500, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta strategies, strategic beta, strategy index, technology, utilities