Happy Days for How Long?
With less than a month left to go to close out the year, it’s a good time to reflect on the highs and lows that market participants have experienced. While the year began with a rocky start due to the Silicon Valley Bank collapse, the market continued to power forward, stumbling in Q3 as 10-year…
Introducing the Dispersion Index (DSPX)
At 9:45 am Eastern Time on Sept. 27, 2023, a new index began publishing under the ticker DSPXSM, with an initial live value of 26.81. This index, the Cboe S&P 500® Dispersion Index (the Dispersion Index to its friends), might be loosely described as a “VIX® for dispersion.” But what is it? Why is it…
Income Generation and the S&P/ASX BuyWrite Index
In my last blog, we discussed the performance characteristics of the S&P/ASX BuyWrite Index. We will now focus on the income-generating feature of this index. As a reminder, a covered call strategy involves selling a call option against an asset that is already owned by the option writer. A systematic long-term covered call strategy generates…
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…
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, Factors
- Tags CBOE Volatility Index, S&P 500, S&P SmallCap 600, strategy, VIX, volatility
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
