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feimei_chan

Fei Mei Chan

Director, Index Investment Strategy, S&P Dow Jones Indices

Fei Mei Chan is Director, Index Investment Strategy at S&P Dow Jones Indices (S&P DJI). The index investment strategy team provides research and commentary on the entire S&P DJI product set, including U.S. and global equities, commodities, fixed income, and economic indices.
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Sep 17, 2021

Chugging Along

In the last three months, the Canadian equity market climbed another three percentage points, bringing the S&P/TSX Composite Index up to an impressive 20.4% YTD through Sept. 16, 2021. In a strong bull market environment, low volatility indices are expected to lag—and they typically have. But overall, the S&P/TSX Composite Low Volatility Index has held…

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Aug 20, 2021

Stalwarts Continue to Increase Presence in the S&P 500 Low Volatility Index

If the equity market’s report card so far in 2021 is any indication, it’s on track to be another stellar year. Through Aug. 19, 2021, the S&P 500® is up 17%. The gains were achieved steadily; apart from January, the benchmark has been up every month in 2021. Predictably, in such an environment the S&P…

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Jun 18, 2021

The Good Days of Yesteryear

With the S&P/TSX Composite Index up 16% YTD through June 17, 2021, the Canadian equity market seems to have put the pandemic in the rearview mirror. In this environment, predictably, the S&P/TSX Composite Low Volatility Index underperformed, up 11% over the same period. One-year volatility levels (no longer capturing the uncontrolled panic at the onset…

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May 21, 2021

A Return to Normalcy?

The onset of the COVID-19 pandemic a year ago produced the highest-ever monthly volatility reading for the S&P 500® in March 2020. Volatility began to decline as the market’s recovery began, but if we measure volatility on a 12-month trailing basis, as we do in Exhibit 1, we see the sustained impact of last year’s…

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Apr 5, 2021

Happy Birthday to Low Vol and High Beta!

On April 4, 2011, S&P DJI launched two strategy indices, the S&P 500® Low Volatility Index and the S&P 500 High Beta Index. Ten years of live history let us compare how the two indices actually performed versus their pre-launch back-tests. Many investors take back-tested history with an understandable grain of salt. But even live…

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Mar 22, 2021

Elevated Volatility Levels in Sectors Remain

The shock that the onset of the pandemic sent through the financial markets a year ago is mostly a distant memory. The S&P/TSX Composite Low Volatility Index was up 34% for the one-year period ending March 19, 2021, lagging its benchmark index. This is not surprising given that the performance of the S&P/TSX Composite Index…

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Feb 19, 2021

Low Turnover in the S&P 500 Low Volatility Index Reflects Broader Market Dynamics

It’s been almost a year since the COVID-19 pandemic hit the U.S., but despite the disruption it brought to daily life, the U.S. equity market has performed remarkably well—rallying powerfully after a sharp decline in March 2020. Through Feb. 18, 2021, the S&P 500® was up 24% since the end of 2019. In the same…

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Dec 18, 2020

So Different Yet So Alike…

To say that the world is different now than it was a year ago would be an astounding understatement. COVID-19 brought about once unimaginable conditions and changes. In the financial realm, market volatility spiked and remains markedly higher across all sectors compared to the beginning of 2020. Yet, observing the market based purely on performance,…

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Nov 20, 2020

The Market Is Up, But So Is Volatility

So far, 2020 has brought us a global pandemic, a coordinated global economic shutdown, and, in the U.S., a notably contentious election. So it’s no surprise that volatility has been, and remains, elevated. Despite all this, equities have fared reasonably (some would say surprisingly) well, with the S&P 500® climbing 13% through Nov. 19 since…

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Sep 18, 2020

Holding Steady…

The market has recovered most of the losses from March’s uproar, with the S&P/TSX Composite Index down 4.8% in 2020 through Sept. 17. Volatility, though off its March peak, continues to be high but has been evenly distributed across all sectors of the market. Since all sectors experienced similar increases in volatility, it’s not surprising…

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