Category Archives: S&P 500 & DJIA

A First Look Inside The Communication Services Select Sector Index

In accordance with the announced upcoming communication services sector change, the new Communication Services Select Sector Index is now live.  The select sectors are based on the Global Industry Classification Standard (GICS®) but have different construction rules than the sectors of the S&P 500.  In the Select Sectors, each index is made up of all Read more […]

Here’s How A Rising Dollar Impacts Stocks

The U.S. dollar hit a 4 month high last week from concern over potentially faster interest rate hikes to control inflation as oil exceeded $70 per barrel and the lowest unemployment since 2000 was reported.  If the U.S. dollar continues to strengthen, it may be useful to know how U.S. equities moved historically in times when the Read more […]

Energy Powers Small Cap And Value In April

In April, the S&P 500 (TR) gained 0.4%, ending its first consecutive monthly loss in almost two years, but the index is still down 0.4% year-to-date (ending April 30, 2018.)  Mid caps are also down for the year, -1.0%, after the S&P 400 (TR) lost 0.3% in April.  However, Small caps pushed into positive territory, up now 1.6% Read more […]

Interest Rate Risk of Low Volatility Indices – Part II

In a previous blog, we performed preliminary exploration of rising interest rate exposure of the S&P 500® Low Volatility Index. In this blog, we continue the analysis to see if there is a relationship between the magnitude of interest rate change and magnitude of active return of the low volatility index relative to the S&P Read more […]

Interest Rate Risk of Low Volatility Indices

A topic commonly brought up when interest rates rise is the impact that rates have on the performance of low volatility indices. Several studies[1][2] have shown that low volatility portfolios have exposure to rising interest rate risk. One of the main drivers of this exposure stems from the bond-like characteristics of sectors usually favored by Read more […]

Drilling Into Industries Finds What Lifts Energy Stocks With Oil

As oil prices continue to increase, the energy sector is rising but recently the mid and small cap stocks are outpacing the large caps.  Thus far in April (month-to-date through April 12, 2018,) the energy sector is leading all other sectors, but the S&P 500 Energy (Sector) is up just 4.8% versus the gain of Read more […]

Low Volatility and Market Regime Shifts: Lessons From the First Quarter

Since antiquity, people have measured time in months. Unsurprisingly, investors tend to evaluate performance in monthly increments. This can be troublesome, as we will see in the case of low volatility, particularly during market regime changes. Low volatility strategies are designed to provide investors with protection in falling markets and participation in rising markets. Disappointments Read more […]

Small Caps Rebound Big in March

The first quarter of 2018 will be remembered as the quarter that ended the 9 quarter winning streak for the S&P 500 (TR).  As the volatility rose, the market went from posting its best January since 1997, up 5.7%, to losing 3.7% in February, its first monthly loss in 15 months.  February wasn’t only bad Read more […]

What’s In A Sector?

Following an index announcement stating Nektar (NKTR) among other stocks would be moving to the S&P 500 prior to the open on March 19, 2018, an inquiry came in about the index impact of NKTR on the S&P SmallCap 600 Health Care Index performance.   Given the stock rose over 70% in 2018, it seemed reasonable to Read more […]

No Longer Calm but Not Chaotic

Although market volatility has retreated somewhat since the spike in early February, it has remained elevated. In the last 30 trading sessions, the S&P 500 moved by more than 1% (in either direction) 14 times. VOLATILITY FOR S&P 500 (21-Day Rolling) Volatility manifests itself in both dispersion (a measure of the magnitude of differences among Read more […]