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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 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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Aug 21, 2020

A Stable Regime

In recent days the S&P 500 reached multiple new highs, despite the still-uncertain nature of the economy’s recovery from the COVID-19 pandemic. Year to date through Aug. 20, 2020, the S&P 500 is up 6% while the S&P 500 Low Volatility Index is down 6%. Market volatility remains high, as evidenced by the charts in…

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May 28, 2020

Big Sector Shifts in Low Volatility Composition

In March, COVID-19 inspired volatility roiled markets across the globe. Similarly, the volatility of the S&P/TSX Composite also jumped. The increase, however, was not balanced across all sectors. We see this manifested in the most recent rebalance for the S&P/TSX Composite Low Volatility Index. Effective after the close of trading April 24, 2020, Exhibit 1…

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May 15, 2020

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…

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Mar 17, 2020

Low Volatility in Europe and Asia

“The rich, the poor, the high, the low Alike the various symptoms know”–The Influenza Winston Churchill, 1890 By this point, the infamous COVID-19 has made its way around the world and wreaked havoc through equity markets across the globe. We’ve already highlighted the value of protection in the U.S. and Canada.  Pandemics show no respect…

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Mar 11, 2020

The Virtue of Protection

It remains to be seen what the full economic impact of the COVID-19 virus will be, but it is already clear that no equity market  has escaped unscathed.  (In fact, most of them have been scathed rather badly.) The Canadian equity market was humming along in 2020 through February 20, 2020, with the S&P/TSX Composite…

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Mar 4, 2020

The Irrelevance of Value in Low Volatility

Low volatility strategies have achieved considerable market acceptance in the aftermath of the 2008 financial crisis.  For most of the 12 years since then, skeptics have argued that low vol might become, and sometimes that it has become, overvalued.  It’s an understandable concern, especially in light of the continuing popularity of low volatility strategies. We…

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Feb 21, 2020

Protection and Participation

Through Feb. 20, 2020, the S&P 500 Low Volatility Index® is up 5.9% compared to a gain of 4.7% for the S&P 500. Equities roared out of the gate in 2020 but a hiccup in late January allowed Low Vol to catch up and eventually overtake the S&P 500. Those who are familiar with low…

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Jan 14, 2020

S&P Composite 1500®: SPIVA

While the iconic S&P 500® is one of the world’s best known benchmarks, the S&P Composite 1500 (comprising the S&P 500, S&P MidCap 400®, and S&P SmallCap 600®) covers a broader spectrum of the capitalization of the U.S. equity market. Though the S&P 500 is often used as a measuring stick for large-cap fund performance…

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Nov 15, 2019

Winning by Losing Less

Except for a couple of hiccups, the U.S. stock market has more or less hummed along in an upward trajectory for 2019. Through October, the S&P 500 is up 23%. What is surprising is that the S&P 500 Low Volatility Index® outperformed the benchmark by almost 3%, gaining 26% over the same period. This is…

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