Tag Archives: S&P 500 Minimum Volatility Index

Drawdown Analysis of Low Volatility Indices

One of the objectives of low volatility strategies is to provide higher risk-adjusted returns than their respective benchmarks over the long run, primarily by reducing drawdowns during market downturns.  In the U.S. market, both the S&P 500® Low Volatility Index and the S&P 500 Minimum Volatility Index have shown outperformance over the S&P 500, not Read more […]

Approaches to Achieving Low Volatility

Low volatility has been one of the most in vogue strategies during the past decade, with market participants still cognizant of the drawdowns that occurred during the financial crisis.  At S&P DJI, two of the most common strategies are applied to the S&P 500® universe to capture the low volatility anomaly—which is the observation that Read more […]