Tag Archives: low volatility

Shelter from the Storm

As we approach the final month of a rollercoaster year in the markets, adding a factor lens can provide perspective, especially when it comes to low volatility. The goal of low volatility strategies is to provide investors with protection in falling markets and participation in rising markets. The need for protection has become more relevant Read more […]

The Virtues of Slow and Steady

For most of 2018, the S&P 500 Low Volatility Index® underperformed its parent S&P 500. Through the first nine months of 2018, the S&P 500 climbed 11% while the S&P 500 Low Volatility Index was up only 6%. Then October came and, in one month of acute volatility, the low volatility index recaptured parity with Read more […]

Bonding with Defensive Equity Strategies

“The aim of the wise is not to secure pleasure, but to avoid pain.” – Aristotle Recent volatility in equity markets may be unsettling to some investors. Skittishness about the stock market is understandable, especially in the context of the serenity in 2017. Volatility levels are relatively higher and risk is on the radar of Read more […]

Looking Through The Sector Lens

We’ve recently noted that this month’s market turmoil created a radical reversal of factor returns, poking holes in this year’s momentum bubble. A similar trend has occurred within sectors.  During the first nine months of 2018, Consumer Discretionary and Info Tech dominated performance, as seen in Exhibit 1. For the first two weeks of October, Read more […]

Real Estate Gains Prominence in the S&P 500 Low Volatility Index

Year to date, the S&P 500 Low Volatility Index® has underperformed its parent S&P 500, up 5.52% compared to a 7.55% (through Aug. 16, 2018 close) increase for the benchmark. Those who are familiar with low volatility strategies will recognize that this performance is consistent with the historical pattern of returns and in line with Read more […]

How Low Volatility Could Make You “King of the Mountains”

The world’s most prestigious cycling race, the Tour de France, begins tomorrow.  The tour lasts three weeks and comprises a series of one-day stages.  Although the main prize – the yellow jersey – is awarded to the rider that takes the minimum amount of time to complete the entire tour, there are plenty of races Read more […]

Low Volatility Rate Response – Down-Market Analysis

In the second blog of this series, we saw that the S&P 500® Low Volatility Rate Response generally achieved similar levels of volatility reduction as the S&P 500 Low Volatility Index. In our paper Inside Low Volatility Indices (published in 2016), the low volatility index historically outperformed the S&P 500 during severe market downturns (Exhibit Read more […]

Low Volatility Rate Response – Interest Rate Changes and Relative Performance

In a prior post, we saw that during sharp rising interest rate periods, the S&P 500® Low Volatility Rate Response fared better than the S&P 500 Low Volatility Index, even though both indices generally underperformed the S&P 500. In this post, we examine if there is a relationship between the magnitude of interest rate changes Read more […]

Maintaining Risk Reduction While Reducing Interest Rate Risk

Previously, we highlighted that the S&P 500® Low Volatility Rate Response Index fared better than the S&P 500 Low Volatility Index when interest rates increased. The objective of low volatility portfolios is to deliver lower portfolio volatility than the broad market benchmark, leading to higher risk-adjusted returns over a long-term investment horizon. In this blog, Read more […]

Reducing Interest Rate Risk in a Low Volatility Strategy

In prior posts, we reviewed the impact of rising interest rates on the S&P 500® Low Volatility Index returns. We showed that the low volatility index had negative exposure to rising interest rates, and thus has historically underperformed the S&P 500 in periods when interest rates rose significantly. In this post, we look at the Read more […]