Tag Archives: low volatility
Mondo Mashups
Whether you call it soccer or football, there’s no denying the World Cup was a blast for North Americans and visitors alike. Off the field, one of the most enjoyable spectator sports was watching camaraderie emerge from road trips and cultural mashups. Whether it was the Tartan Army firing up the Miami Marlins, Samurai Blue…
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Factor Index Leadership in Australia: Has the Tide Turned?
Last year, we published a paper reviewing the long-term performance of factor indices in the Australian market. One of the key observations from that paper was that, over the long term, quality and momentum had historically been among the strongest-performing single-factor indices. More recently, however, both quality and momentum have faced performance challenges, while enhanced…
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The Market Measure: April 2025
How did S&P DJI’s indices perform in Q1? Why is Low Volatility attracting interest, and what else is navigating the trade trends successfully? Explore the highlights.
Expectations and Anomalies
At one point deep into the Global Financial Crisis of 2008, I remember a clever colleague declaring “less down is the new up.” He wasn’t alone in this point of view, since in a world with so many markets and indices falling in unison, those that performed relatively better justifiably gained attention. One of those…
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Resilience amid Rising Volatility: The S&P 500 Low Volatility Index
Until recently, the continuous rise of the S&P 500® seemed unstoppable. However, with the return of market volatility and macroeconomic uncertainty, there has been a growing appetite for defensive strategies and risk mitigation. The S&P 500 Low Volatility Index has emerged as a standout performer, further solidifying its reputation for stability in uncertain times. This…
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The S&P 500 Low Volatility Index: Currently Valued at the 99th Percentile of Cheapness Relative to the S&P 500
Investor enthusiasm for AI and mega-cap technology stocks has propelled the S&P 500® to a gain of more than 30% over the past 12 months. As the S&P 500 has been reaching new highs on a regular basis, it is understandable if low volatility stocks have not been at the top of investors’ minds. This…
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The February 2024 Rebalance of the S&P 500 Low Volatility Index
Since the previous rebalance for the S&P 500® Low Volatility Index on Nov. 17, 2023, and its most recent on Feb. 16, 2024, the S&P 500 delivered a stunning 11.3% return. During this period, the S&P 500 Low Volatility Index was up 5.3%, strong by historical standards, albeit underperforming the S&P 500. As has been the…
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Financial Planning Using Indices: From Taxes to Factors
How are advisors putting SPIVA data and factors to work as they build long-term plans to help clients achieve objectives? Delta Wealth Advisors’ Dino Efthimiou and Niko Finnigan join S&P DJI’s Brent Kopp for a practical look at the importance of tax management and the role of indexing in building a comprehensive plan for clients….
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The November 2023 Rebalance of the S&P 500 Low Volatility Index
The S&P 500® continued its strong performance this year after posting a 9.8% gain in a span of less than three weeks from Oct. 30 to Nov. 17, 2023. During this period, the 10-year U.S. Treasury yield dropped approximately 45 bps1 and October’s year-over-year headline CPI inflation cooled to 3.2%.2 As Exhibit 1 shows, since…
Investigating the Premium Available to Factor Returns via a Focus on Sustainability
Factor indices aim to provide investors the means to access factor exposure in a cost-effective and transparent way. S&P DJI offers sustainability versions of factor indices that incorporate environmental, social and governance (ESG) scores, which allow investors to align their investments with their interests while seeking to improve risk/return dynamics. Launched in 2021, our suite…
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