Tag Archives: S&P 500 Low Volatility Rate Response Index
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…
- Categories Factors, S&P 500 & DJIA, Strategy
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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,…
- Categories Equities, Factors, S&P 500 & DJIA
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- Equities, Factors, S&P 500 & DJIA
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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…
- Categories Equities, Factors, S&P 500 & DJIA
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- Equities, Factors, S&P 500 & DJIA
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