Fei Mei Chan

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

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.

Prior to joining S&P DJI, Fei Mei was a member of the tax-exempt housing and structured finance group within U.S. Public Finance Ratings at Standard & Poor’s. Fei Mei has also reported and written for both Forbes and Barron’s, covering equity and mutual funds.

Fei Mei holds a bachelor’s degree in economics and classics anthropology from New York University.

Author Archives: Fei Mei Chan

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 Read more […]

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 Read more […]

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 Read more […]

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 Read more […]

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 Read more […]

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 Read more […]

The Calm That Was

Through the end of July, equities had netted a nice gain for 2019 (though the picture looks a lot different so far in August). Unusually, the S&P 500 Low Volatility Index® outperformed in an environment when it has typically lagged its benchmark. (The S&P 500 gained 20.2%, while the low volatility index was up 20.8%, Read more […]

Not Melting Yet

Despite the hovering cloud of geopolitical menace as we entered 2019, the U.S. equity market enjoyed an almost seamless rise through the first four months of the year. May’s retreat reacquainted investors with volatility and served as a reminder that the market is near all-time highs, having enjoyed a more or less sustained increase for Read more […]

Little Churn in the Latest Low Volatility Rebalance

Market gains in the first four months in 2019 more than made up for what it lost in the turbulent last quarter of 2018 as the S&P 500 jumped 18%. Predictably enough, the S&P 500 Low Volatility Index® trailed the broader benchmark (up a “mere” 16% in the first four months), although Low Vol has Read more […]

Spoiler Alert: Yes

We recently updated our paper asking Is the Low Volatility Anomaly Universal? The alert reader (and we have no other kind) will have guessed that it is. This is an empirical conclusion, but a theoretical digression might help explain why this is so remarkable. Low volatility strategies explicitly seek to lower the risk of a Read more […]