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Tag Archives: high beta

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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Jul 27, 2020

Observing a Regime Change

In politics, “regime change” denotes the replacement of one governmental structure with another; in economics, we use the same term to indicate a shift in the interactions of various parts of the economic or financial system. Political regime changes are easy to identify (after all, a military coup is hard to miss).  Defining when an…

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Jul 13, 2020

Battle of Factors: Low Volatility versus High Beta

2020 has surprised us all with a number of firsts. Not only did we witness wild swings in the market from one quarter to the next, we also saw an unusual performance of commonly followed factors. While this blog will not attempt to predict factor performance, it will address recent factor behavior and put this…

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Mar 11, 2019

The S&P/B3 High Beta Index – An Unlevered Framework for Bullish Tactics

Since the beginning of 2019, the Brazilian stock market has been in bullish territory, generating double-digit gains in January alone (10.59% in local currency and 17.71% in U.S. dollars).[1] Market participants are calling for a strategy to help them take advantage of the current favorable view on Brazilian equities. The S&P/B3 High Beta Index may…

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Mar 23, 2017

Rising Rates Arrive

Which of the figures below belong together?   It’s obvious, even if analogies aren’t your strong suit, that A is like C and B is like D.  A and C are not like B and D. The economic relevance of this simple visual exercise is this: At its March 2017 meeting, the Federal Open Market…

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Nov 4, 2016

Examining Sector and Factor Performance in the Third Quarter of 2016

High beta, value factors among the star performers, while low volatility lags amid heightened appetite for risk The high beta, value and size factors outperformed the broad-market S&P 500 Index by a sizeable margin during the third quarter, with the S&P 500 High Beta Index gaining 12.18% during the three-month period – outpacing all other…

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Mar 31, 2015

Low Volatility and High Beta: When Opposite Paths Meet

By design, the S&P 500® Low Volatility Index sometimes takes large positions in sectors.  Particularly in times of turmoil, the rankings-based methodology of the S&P 500 Low Volatility Index offered refuge by steering clear of sectors such as financials in 2008 and the technology sector during the 2000-2002 deflation of the bubble. On the flip side,…

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