29 Years of VIX
In 1993, the Chicago Board Options Exchange (Cboe) announced the launch of the Cboe Market Volatility Index or VIX®, which provides market participants with a barometer to measure market sentiment. Since then, the index has become one of the most followed benchmarks. In commemoration for its 29th anniversary, we take a look at the evolution…
- Categories Equities, Strategy
- Tags CBOE, CBOE Volatility Index, S&P 500 options, strategy, VIX, volatility
Markets Remained Volatile, But History Shows Return to Calm
The Russia-Ukraine conflict is now in its third week and markets remain volatile. The major U.S. equity benchmarks dropped about 10% from their peaks, with the exception of the Energy sector. The CBOE Volatility Index (VIX®), the so-called “fear gauge,” has been hovering above 30, which is the 90th percentile of its historical value. Its…
- Categories Equities, Strategy
- Tags CBOE Volatility Index, S&P 500, S&P SmallCap 600, strategy, VIX, volatility
India’s ETF Market: The Changing Face of Passive
Though passive investing is galloping its way into some allocations, it’s still not a significant percentage. Passive assets are concentrated in the developed markets, with the U.S. claiming a majority share, followed by Europe and Japan. The use of core and satellite strategies based on passive vehicles can be a further catalyst to the growth…
The S&P Dividend Growers Indices: Examination of Risk, Return and Down-Market Performance
This blog, the final in a series of three, reviews the performance of the new S&P Dividend Growers Indices and highlights some of their defensive characteristics. They are designed to track companies with consistently increasing dividends while excluding the top 25% highest-yielding eligible companies. Only companies that increase dividends consecutively for at least 10 and…
A Reversal, or Two
For many equity investors, the stand-out theme of last year was the reversal in the market’s initial response to, and recovery from, the COVID-19 pandemic: the dramatic price declines in March, the wild swings around the bottom as VIX® marked its highest closing level ever, and the just-as-dramatic recovery to new all-time highs by late…
The Dangers of Extrapolation
The contrasts between the first 10 months of 2020 and the month of November were vivid. Consider: At the end of October, the year-to-date total return of the S&P 500® was barely positive (2.77%), but was well ahead of the returns of the S&P MidCap 400® (-6.63%) and the S&P SmallCap 600® (-13.06%). In November,…
While Fixed Income Yields Remain Low, Theta Gang Generates Income through Covered Calls
In response to the economic ravages of COVID-19, central banks and investors around the world went on a bond buying spree, pushing fixed income yields down and complicating the search for portfolio-generated income. While yields are generally off their March 2020 extremes, by historical standards they remain quite diminished. One alternative strategy to generate supplemental…
Sectors and Electors
Markets expect elevated volatility surrounding the U.S. Presidential election, now just six weeks away. The VIX futures curve currently peaks in November, but as long ago as April a close observer could detect expectations of electoral volatility. Increased volatility may create an unusual opportunity for sector allocators. To understand why, we need to remember that…
- Categories Equities, S&P 500 & DJIA, Strategy
- Tags 2020, 2020 election, active management, Active vs. Passive, Craig Lazzara, dispersion, election year 2020, equities, Index Investment Strategy, index performance, passive management, S&P 500, S&P 500 Sectors, sector, sector allocation, sector dispersion, sector performance, U.S. Election, volatility
- Categories
- Equities, S&P 500 & DJIA, Strategy
- Tags
- 2020, 2020 election, active management, Active vs. Passive, Craig Lazzara, dispersion, election year 2020, equities, Index Investment Strategy, index performance, passive management, S&P 500, S&P 500 Sectors, sector, sector allocation, sector dispersion, sector performance, U.S. Election, volatility
VIX Back to Normal? Not Really
The U.S. equities market had a wild start in 2020. Following the March 2020 sell-off, the S&P 500® posted its largest monthly gain (12.8%) since 1987. Meanwhile, VIX® went from its long-term median to an all-time high within a month before it settled around 30. One thing that has been debated lately is whether VIX,…
A Changed World
The world looks much different than it did three months ago. Since then equities hit their all-time peak, entered a bear market, exited a bear market, and currently sit 15% off peak with sustained higher volatility levels. The latest rebalance for the S&P 500 Low Volatility Index®, effective after the close of trading today, rotated…
- Categories Equities, Factors, Strategy
- Tags 2020, defensive strategies, Factor, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
- Tags
- 2020, defensive strategies, Factor, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
