Tag Archives: rebalance

Sector Volatility Conveys Most (But Not All) of the Story in the Latest S&P 500 Low Volatility Index Rebalance

In January 2018, realized volatility (rolling 252-day) for the S&P 500 reached a 27-year low. Since then, volatility has been steadily creeping up and as of April 30, 2018, it sat at 12.1%—almost double the levels in January. Despite having increased significantly, volatility is still well below the historical average of 16%. Rolling 252-Day Volatility Read more […]

The Difference a Few Days Make

For investors, things looked very different between the end of January and the first part of February. Following a few days of market turmoil in February, volatility jumped to levels where it is once again at the forefront of investors’ consciousness. Volatility based on a 252-day lookback generally declined for S&P 500 sectors (Telecom excluded) Read more […]

How Low Can Volatility Go?

There’s still some time remaining in 2017, but if it goes the way the year has thus far, this will be the least volatile year for the S&P 500 in 22 years. Given this context, selection to the S&P 500® Low Volatility Index (an index of the 100 least volatile stocks in the S&P 500) Read more […]

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 […]

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 […]

S&P GSCI Rebalance Triggers Brent Outflows 8X Bigger Than For WTI

The S&P GSCI annual rebalancing is beginning today to adjust the commodity weights to their 2017 target weights over the next five days.  Energy remains the biggest sector in the index in 2017, targeting 56.2%, despite a significant decrease from its 2016 target weight of 63.1% and ending weight on Jan, 6. 2017 of 62.2%. Read more […]

This Is How Much Commodity Money Might Move in 2017

Rebalancing season is underway again for the S&P GSCI. Last week, the index committee announced the proforma results for the 2017 weights in the S&P GSCI. While it is possible the target weights may change before the official press release, the proforma results are now listed on our website. One way to look at the Read more […]

Worst Crude Oil Start In History: Or Best Rebalance?

In the first 5 days of 2016, the S&P GSCI Crude Oil Total Return lost 10.5%, making it the worst start for oil in history. This oil mess has spilled into other commodities, driving the 3rd worst overall commodity start in history since 1970, losing 5.5% in 5 days. It is the worst start in Read more […]

WTI Reclaims No.1 Spot As The Benchmark Oil In 2016

S&P Dow Jones Indices today announced the composition and weights for the 2016 S&P GSCI and Dow Jones Commodity Index. The two indices have the same constituents by definition but the weighting methodologies are different. The DJCI is equally weighted with 1/3 of its weight to each sector – energy, metals, and agriculture and livestock, Read more […]

A Sweet Spot in Commodities

It has been a rough start for commodities in 2015 with only six (natural gas, aluminum, lead, sugar, gold and silver) posting gains so far. At our commodities seminar in London last Sept, our speakers agreed picking a winner in this environment is diificult. However, it looks like one of our panelists may have done the job Read more […]