Tag Archives: low volatility

Little Churn in the Latest Low Volatility Rebalance

Market gains in the first four months in 2019 more than made up for what it lost in the turbulent last quarter of 2018 as the S&P 500 jumped 18%. Predictably enough, the S&P 500 Low Volatility Index® trailed the broader benchmark (up a “mere” 16% in the first four months), although Low Vol has Read more […]

Volatility Test: Defensive Factor Indices versus Actively Managed Funds

Indices based on factors such as low volatility and quality generally have defensive characteristics. These strategies tend to outperform the broad benchmark in down markets, as previous studies have shown.  Yet some market participants also believe that active management fares somewhat better than the benchmark in periods of volatility and distress. In 2018, the S&P Read more […]

Positioning for Market Volatility Using Passive Strategies

Fluctuating periods of “risk-on” and “risk-off” mean that spikes in equity market volatility and large drawdowns are increasingly common in today’s economy. Exhibit 1 shows events throughout the current market cycle causing notable rises in volatility and large drawdowns. With more of these likely in the future, as our long bull market cycle ages, how Read more […]

New Additions to the S&P 500® Dividend Aristocrats® Class of 2019

The December 2018 rebalance of the S&P 500 Dividend Aristocrats added four new companies, with the changes effective at the open of Feb. 1, 2019. The new firms are Caterpillar Inc., Chubb Limited, People’s United Financial Inc., and United Technologies Corp. These four companies have the distinguishing characteristics that allow them to be eligible for Read more […]

Introducing the S&P GCC Factor Indices

The start of 2019 marks not only the 10th anniversary of S&P Dow Jones Indices in Dubai, but also the expansion of our single- and multi-factor index series into the Gulf Cooperation Council (GCC) region. Our current suite of single factor indices, including those covering low volatility, momentum, enhanced value, and quality factors, are now Read more […]

Low Volatility Index Shows Its Utility

The S&P 500 Low Volatility Index® made a valiant comeback in late 2018 after trailing for most of the year.  The strategy index finished the year well by just staying in positive territory at a 0.27% gain, when the broader S&P 500 declined 4%.  It was also the best performing factor index among those based Read more […]

Volatility and Active Management

Recently, a number of reports highlighted a surge in popularity for actively managed U.S. equity funds in 2019.  The main explanation for this trend appears to be the volatility observed in the final few months of 2018: market participants seem to believe active managers are better able to navigate more volatile markets.  However, the data Read more […]

A Little Bit of Low Vol Can Go a Long Way

The fourth quarter of 2018 was pretty turbulent for global equities.  Volatility and correlations rose, the majority of the S&P Global BMI’s 48 country constituents declined by double digits, recent darlings among factor strategies (momentum and growth) lagged, and the S&P 500’s 13.52% quarterly plunge left the benchmark with its first calendar-year loss in a Read more […]

Shelter from the Storm

As we approach the final month of a rollercoaster year in the markets, adding a factor lens can provide perspective, especially when it comes to low volatility. The goal of low volatility strategies is to provide investors with protection in falling markets and participation in rising markets. The need for protection has become more relevant Read more […]

The Virtues of Slow and Steady

For most of 2018, the S&P 500 Low Volatility Index® underperformed its parent S&P 500. Through the first nine months of 2018, the S&P 500 climbed 11% while the S&P 500 Low Volatility Index was up only 6%. Then October came and, in one month of acute volatility, the low volatility index recaptured parity with Read more […]