Tag Archives: interest rate risk
Income-Focused Strategy Indices Show Resilience in 2020 (Part 2)
In part 1 of this blog, we saw how falling real interest rates reduce the retirement income a given account balance can support. In part 2, we focus on how interest rate risk may potentially be managed through an income-focused asset allocation. The S&P STRIDE (S&P Shift to Retirement Income and Decumulation) indices measure the…
- Categories Fixed Income, Strategy, Thematics
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Setting Income Goals For A Winning Retirement
“You Keep Livin’, We’ll Keep Payin’” – lottery spokeswoman, Christy Calicchia. Most people, while they only dream of winning a lottery, understand the concept between a big lump sum payout and an annuity that says something like “either win $1 million today or win $1,000 a week for life.” Though the concept is clear, and in…
- Categories Equities, Fixed Income, Strategy
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Low Volatility Rate Response – Down-Market Analysis
In the second blog of this series, we saw that the S&P 500® Low Volatility Rate Response generally achieved similar levels of volatility reduction as the S&P 500 Low Volatility Index. In our paper Inside Low Volatility Indices (published in 2016), the low volatility index historically outperformed the S&P 500 during severe market downturns (Exhibit…
- Categories Factors, S&P 500 & DJIA, Strategy
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Maintaining Risk Reduction While Reducing Interest Rate Risk
Previously, we highlighted that the S&P 500® Low Volatility Rate Response Index fared better than the S&P 500 Low Volatility Index when interest rates increased. The objective of low volatility portfolios is to deliver lower portfolio volatility than the broad market benchmark, leading to higher risk-adjusted returns over a long-term investment horizon. In this blog,…
- Categories Equities, Factors, S&P 500 & DJIA
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- Equities, Factors, S&P 500 & DJIA
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Reducing Interest Rate Risk in a Low Volatility Strategy
In prior posts, we reviewed the impact of rising interest rates on the S&P 500® Low Volatility Index returns. We showed that the low volatility index had negative exposure to rising interest rates, and thus has historically underperformed the S&P 500 in periods when interest rates rose significantly. In this post, we look at the…
- Categories Equities, Factors, S&P 500 & DJIA
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- Equities, Factors, S&P 500 & DJIA
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Interest Rate Risk of Low Volatility Indices – Part II
In a previous blog, we performed preliminary exploration of rising interest rate exposure of the S&P 500® Low Volatility Index. In this blog, we continue the analysis to see if there is a relationship between the magnitude of interest rate change and magnitude of active return of the low volatility index relative to the S&P…
- Categories Factors, S&P 500 & DJIA
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Interest Rate Risk of Low Volatility Indices
A topic commonly brought up when interest rates rise is the impact that rates have on the performance of low volatility indices. Several studies[1][2] have shown that low volatility portfolios have exposure to rising interest rate risk. One of the main drivers of this exposure stems from the bond-like characteristics of sectors usually favored by…
- Categories Factors, S&P 500 & DJIA
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