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Tag Archives: mean reversion

Jul 27, 2023

Mean Reversion

Over more than 20 years of live history, the S&P 500® Equal Weight Index has outperformed the S&P 500 by a substantial margin. Between Dec. 31, 1990, and June 30, 2023, Equal Weight’s compound annual growth rate was 11.82%, well ahead of the cap-weighted S&P 500 at 10.55%. This performance edge is a product of…

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Oct 12, 2022

Making a Virtue of Necessity

When the market declines by nearly 24%, as the S&P 500® did in the first nine months of 2022, investors typically lick their wounds and wonder what comes next. Spoiler alert: I don’t know. But there are ample historical data to explore amidst our befuddlement. First, the bad news: Exhibit 1 shows that there is…

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Jul 11, 2022

Patience Is a Virtue

With the first half of 2022 in the books, commentators have noted that this year’s -20.0% total return for the S&P 500® is the worst January-June result in more than 50 years. Painful as the first six months were, what might they tell us about the rest of the year? History gives us both bad…

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Mar 9, 2018

A new volatility regime? VIX® don’t think so!

Global equity markets experienced a challenging February.  A U.S.-led selloff triggered a spike in volatility; the Cboe Volatility Index (VIX) recorded its largest ever daily increase on February 5 to reach its highest level since August 2015. But is higher volatility here to stay? Towards the end of last year, we published a paper –…

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Dec 15, 2014

The Commodity Flip NOT Flop Of 2014

Six months ago, commodities looked like they were on the brink of a comeback. The S&P GSCI Total Return gained 7.4% YTD through June 20 at its high.  Back then, almost a record number of commodities, 12, were in backwardation, reflecting shortages in Brent Crude, Cocoa, Copper, Corn, Cotton, WTI Crude Oil, Feeder Cattle, Gold, Live Cattle, Natural Gas, Soybeans and Unleaded…

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