Tag Archives: smart beta strategies

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 […]

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 […]

Is There Merit in Blending Factors in Smart Beta Strategies?

Despite the fact that many single-factor strategies have empirically delivered positive excess returns in the long run, they have suffered periods of substantial underperformance under certain market conditions due to their cyclicality.  Blending a number of desired factors with low correlations is a potential way to attain more balanced and diversified portfolios.  The obvious questions Read more […]