Category Archives: Strategy

Financials Gain More Prominence in Latest Low Vol Rebalance

Volatility has been generally subdued so far this year.  In the latest rebalance, the S&P 500® Low Volatility Index’s most significant sector shift was to Financials (adding 5% to bring the sector to 21% of the index).  Allocation in the remaining sectors did not deviate too far from the last rebalance. Technology’s weight, which increased Read more […]

Exploring Dividends in Peru

What does it mean when we talk about dividends?  When a company pays dividends, it shows that it is generating enough flow and profits, and that it seeks to generate an additional flow to its shareholders. In May 2016, S&P DJI published a research paper entitled “Exploring Liquidity and Dividends in Peru.”[1]  This report identified Read more […]

Bubbles and Housing

Home prices nationally are rising two to three times faster than inflation. They are up 5.5% from a year ago with some cities rising at double-digit rates. Looking at the chart of the S&P Corelogic Case-Shiller Home Price Indices, many are wondering if we’re in another housing bubble. While prices are rising, the following charts Read more […]

VIX Hit Below 10 in Q2: What Do We Know From the Past?

With the French election ending in the defeat of Le Pen, one more risk factor has been removed from the table and low volatility has returned.  In Q2, the CBOE Volatility Index (VIX®) fell below 10 seven times, and the closing level of 9.75 on June 2, 2017, was the lowest since 1993.  Do these Read more […]

Mightier than Le Pen

We publish a series of dashboards at the end of each month to summarize market performance in a number of regions. These dashboards include monthly reports on Risk and Volatility, as well as Factor Dashboards for the U.S. and for Europe on a quarterly basis. With June behind us, a half-yearly summary is in order. Read more […]

A New Eden, Or Fewer Excuses

In our May dispersion dashboard, we note that “If there is ever such thing as a “stock-pickers’ market”, then the month of May 2017 – at least in some regions – might be the closest approximation we have seen for a decade.” The subject of what, exactly a “stock-pickers’ market” might look like, and how Read more […]

Dividend Growers vs High Dividend Yielders: How They Compared as Interest Rates Rose

There are generally two types of dividend strategies: Dividend growers: Those targeting stocks that consistently grow their dividends over time High dividend yielders: Those focusing on stocks that pay a high dividend yield Not all dividend strategies are created equal These dividend strategies are constructed differently and may be used to accomplish different objectives. For Read more […]

The Wind Bloweth Where It Listeth…

In the latest quarterly rebalance (effective at market close on May 19, 2017), the S&P 500 Low Volatility Index added more weight from the technology sector. The jump from 7% to 12% is the largest increase for any sector. Meanwhile, the index continued to shed weight in Consumer Staples and Utilities, historically the stalwarts of Read more […]

Debt Rising

Outstanding household debt reached a new high in the 2017 first quarter, surpassing the level set in the 2008 third quarter when Lehman Brothers failed and the financial crisis arose. Despite worrisome comments in the press, there is no cause for concern.  First, default rates on mortgages, auto loans and revolving credit are as low Read more […]

Regime Change? Not according to the VIX term structure…

Since the U.S. election, a degree of optimism over potential business-friendly legislation – ranging from tax reform to infrastructure spending – has played a significant part in sending benchmarks such as the S&P 500 to new all-time highs.  Whether this optimism will be justified by actual legislation, of course, is a different issue. At a minimum, recent Read more […]