Tag Archives: low volatility
2023 Has Already Been Trepidatious
A sizzling start for Canadian equities in 2023 found itself fizzling as March began. Despite having a return of as much as 7% in late January/early February, through March 17, 2023, the S&P/TSX Composite Index was up 0.7% YTD. In line with historical trends, the S&P/TSX Composite Low Volatility Index underperformed, declining 0.1%. Volatility rose…
Collections of Factors
Traditional investors think of portfolios (whether active or indexed) as collections of stocks. We can equally well think of portfolios as collections of factors—defining factor in the academic sense, as an attribute with which excess returns are thought to be associated. If we’re correct in assessing these attributes, it should be possible to explain portfolio…
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Equities Recover
In the first seven weeks of 2023, U.S. equities regained a third of the ground lost in 2022 (down 18.1% in 2022 and up 6.5% YTD through February 17, 2023). Exhibit 1 shows that since its last rebalance, the S&P 500® Low Volatility Index, which seeks to mute the gyrations of the market in both…
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What Performance Reversals Suggest
Investment results in 2022 were distinctly different from those of the recent past. The S&P 500®, which had doubled in the three years between 2019 and 2021, fell by more than 18% last year, and Exhibit 1 shows that there were regime shifts among factor indices as well. The dominance of Value over Growth in…
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A Lackluster 2022 for Canadian Equities
With less than two weeks remaining in 2022, the S&P/TSX Composite Index is down 5.7% YTD (a relatively mild decline compared to the S&P 500®’s 17.9% drop). The S&P/TSX Composite Low Volatility Index has underperformed, which is unusual for a down year, falling by 9.6% YTD. Volatility continued its uptrend since the last rebalance, rising…
Examining the Effectiveness of Defensive Strategy Indices
What does history have to say about the effectiveness of factor indices as defensive tools? S&P DJI’s Craig Lazzara explores defense beyond bonds and how defensive factors influence risk/return in different market environments.
Understanding the Low Volatility Anomaly
Take a deep dive into the low volatility anomaly as S&P DJI’s Craig Lazzara explains what the anomaly is, when and why it outperforms, and the role of dispersion in identifying potential opportunities.
A Stalwart Delivers
U.S. equities struggled again in the past three months. The last rebalance for the S&P 500® Low Volatility Index was in August 2022 and the S&P 500 has since declined 7.0%. The S&P 500 Low Volatility Index, which has historically moderated the performance of the benchmark, lost 5.1% in the same period. For the entirety…
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Equity Woes Continue
Canadian equities continued their decline, losing another 8.76% (through September 15, 2022) since the last rebalance of the S&P/TSX Low Volatility Index on June 17. Characteristically for a falling market, Low Volatility outperformed (by 13 basis points), declining 8.63%. As it had done in June, volatility again increased for every sector of the S&P/TSX Composite…
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Defense and Volatility
As the equity market has waned and waxed in 2022, investor interest has naturally turned toward ways of mitigating portfolio losses. Some factor indices can serve this goal, but investors searching for a defensive strategy need to define their search carefully. It’s natural to think that defensive strategies will be less volatile than the market…