Tag Archives: Fei Mei Chan

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 […]

Most Things Are Relative

The S&P 500 Low Volatility Index measures the performance of the 100 least volatile stocks in the S&P 500. In its latest quarterly rebalance (effective at the market close on February 17, 2017), the index scaled back weightings in Utilities, Health Care and Real Estate while adding weight from the Technology, Financials and Consumer Discretionary Read more […]

Remarkably Unremarkable

In geopolitical terms 2016 was a tumultuous year. From the outcome of the Brexit referendum to the surprising conclusion of the U.S. presidential election, 2016 was a year of political surprises. The markets, braced or not, reacted differently in each case. We saw heightened correlation in the aftermath of Brexit and observed higher dispersion immediately Read more […]

Back to Normal…Almost

It’s been a roller coaster week in the aftermath of the startling conclusion to the U.S. Presidential election on November 8, 2016.   As recently as a week before the election, equity markets were quite calm, although volatility levels recognized the possibility of a surprise Trump victory.  When that victory occurred, U.S. futures declined significantly before Read more […]

Quiet Before the Storm

Quiet Before the Storm? Global markets seemingly remain unperturbed—despite homing in on Election Day in the U.S.  Although dispersion ticked up globally from September month-end levels, it is still sitting at below average levels as of October 31 in the U.S. Similarly, correlation is also well below average. Together these coordinates are pointing to particularly Read more […]

Rising Rates Revisited…

The prospect for and ramifications of rising interest rates have surfaced time and again in recent years. Whether and when the Fed will raise rates next is anyone’s guess. But as we’ve noted before, the correlation between higher interest rates and equity declines has grown tenuous in recent history.  Since 1991, the S&P 500 has Read more […]

The Most Tranquil of Times

In step with the July, global markets calmed further in August. Based on the dispersion-correlation map, which provides a framework through which we can assess market volatility, equities have entered a very tranquil environment. It wasn’t too long ago that correlation spiked in equity markets due to geopolitical events. That heightened correlation was resolved swiftly Read more […]

The Usual Suspects

Yesterday’s close brought the S&P 500 to another new pinnacle – the seventh new high reached since June 30th, when the market surpassed its previous peak from July 20, 2015. In the context of the market’s recent bullish run, a number of commentators have remarked on the surprising outperformance of defensive strategies and sectors. But Read more […]

The Current Dispersion-Correlation Map …and Brexit

As an exercise in understanding market volatility, we recently introduced the dispersion-correlation map to see how volatility manifests in dispersion and correlation. We saw very high levels of correlation at the beginning of January for both the S&P 500 and S&P Europe 350; the S&P Pan Asia BMI also sat at above average correlation then. Read more […]

Braced for Brexit

To say that global financial markets were surprised by results of the June 23rd Brexit referendum would be an understatement. Most market observers had anticipated a victory for Remain. When the Leave camp won, global financial markets reeled from the shock. Low volatility strategies are designed to attenuate returns in either direction, and as such, Read more […]