In 2018, the S&P 500 declined for the first time in 10 years. The year’s 4% decline is obviously de minimis compared to 2008’s 37% plunge, though investors may feel it more keenly since the fourth quarter’s 14% decline erased what had been a profitable year. Nonetheless, the risk landscape changed dramatically in 2018 compared Read more […]
For most of 2018, the S&P 500 Low Volatility Index® underperformed its parent S&P 500. Through the first nine months of 2018, the S&P 500 climbed 11% while the S&P 500 Low Volatility Index was up only 6%. Then October came and, in one month of acute volatility, the low volatility index recaptured parity with Read more […]
“The aim of the wise is not to secure pleasure, but to avoid pain.” – Aristotle Recent volatility in equity markets may be unsettling to some investors. Skittishness about the stock market is understandable, especially in the context of the serenity in 2017. Volatility levels are relatively higher and risk is on the radar of Read more […]
Year to date, the S&P 500 Low Volatility Index® has underperformed its parent S&P 500, up 5.52% compared to a 7.55% (through Aug. 16, 2018 close) increase for the benchmark. Those who are familiar with low volatility strategies will recognize that this performance is consistent with the historical pattern of returns and in line with Read more […]
In January 2018, realized volatility (rolling 252-day) for the S&P 500 reached a 27-year low. Since then, volatility has been steadily creeping up and as of April 30, 2018, it sat at 12.1%—almost double the levels in January. Despite having increased significantly, volatility is still well below the historical average of 16%. Rolling 252-Day Volatility Read more […]
Although market volatility has retreated somewhat since the spike in early February, it has remained elevated. In the last 30 trading sessions, the S&P 500 moved by more than 1% (in either direction) 14 times. VOLATILITY FOR S&P 500 (21-Day Rolling) Volatility manifests itself in both dispersion (a measure of the magnitude of differences among Read more […]
For investors, things looked very different between the end of January and the first part of February. Following a few days of market turmoil in February, volatility jumped to levels where it is once again at the forefront of investors’ consciousness. Volatility based on a 252-day lookback generally declined for S&P 500 sectors (Telecom excluded) Read more […]
There’s still some time remaining in 2017, but if it goes the way the year has thus far, this will be the least volatile year for the S&P 500 in 22 years. Given this context, selection to the S&P 500® Low Volatility Index (an index of the 100 least volatile stocks in the S&P 500) Read more […]
Volatility has been generally subdued so far this year. In the latest rebalance, the S&P 500® Low Volatility Index’s most significant sector shift was to Financials (adding 5% to bring the sector to 21% of the index). Allocation in the remaining sectors did not deviate too far from the last rebalance. Technology’s weight, which increased Read more […]
The S&P 500 Low Volatility Index measures the performance of the 100 least volatile stocks in the S&P 500. In its latest quarterly rebalance (effective at the market close on February 17, 2017), the index scaled back weightings in Utilities, Health Care and Real Estate while adding weight from the Technology, Financials and Consumer Discretionary Read more […]