Tag Archives: Index Investment 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 […]

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 […]

Winners and Losers in Trump’s Electoral Surprise

Donald Trump’s unexpected success initially threatened to send the U.S. equity markets into steep decline.  Yet as I write, the S&P 500 has moved very little since yesterday’s close (it is up a little), while the VIX has fallen dramatically. So why (or how) has volatility remained so low this morning when everyone expected it to Read more […]

VIX is holding the Trump card

Despite a narrowing election race and a deluge of earnings, the S&P 500 has not seen a daily change greater than 1% in nearly four weeks.  Realized volatility remains remarkably low.  But the CBOE Volatility Index (VIX) – a predictive measure of future volatility that is often seen as Wall Street’s “fear gauge” – has 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 […]

In Search of the Low Volatility Anomaly

By now we’re very familiar with the oft discussed “Low Vol Anomaly”. Diverging from conventional finance theory, which tells us that risk and return are directly related, low volatility stocks have outperformed over time and, as expected, with lower volatility. Ample research and evidence point to the existence of a low volatility factor comparable to Read more […]

The bad kind of volatility?

Markets across the globe were rocked by volatility from sources new and old last month. The old was a play-by-play repeat of the “taper tantrum” as capital fled from emerging markets in anticipation of a September date for the first rise in U.S. rates since 2006. The new was triggered by evidence that the rollercoaster Read more […]