Tag Archives: Fei Mei Chan

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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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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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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