Canadian equities continued their decline, losing another 8.76% (through September 15, 2022) since the last rebalance of the S&P/TSX Low Volatility Index on June 17. Characteristically for a falling market, Low Volatility outperformed (by 13 basis points), declining 8.63%.
As it had done in June, volatility again increased for every sector of the S&P/TSX Composite Index. Energy, Health Care and Technology were among sectors with the biggest hike in volatility.
Despite this, the latest rebalance for the S&P/TSX Composite Low Volatility Index (effective at the close of trading on Sep. 16, 2022) either maintained or added to positions in these sectors. The index screens for the lowest volatility at the stock level, so these results suggest that there are pockets of relative stability even within higher-volatility sectors.
Financials, Real Estate and Utilities continue to be the most overweighted sectors in the Low Volatility index.
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