Tag Archives: rebalance
A Stable Regime
In recent days the S&P 500 reached multiple new highs, despite the stilluncertain nature of the economy’s recovery from the COVID19 pandemic. Year to date through Aug. 20, 2020, the S&P 500 is up 6% while the S&P 500 Low Volatility Index is down 6%. Market volatility remains high, as evidenced by the charts in…
 Categories Equities, Factors, Strategy

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2020, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Recalled to Life: The S&P SmallCap 600’s Persistent Outperformance after the Russell Reconstitution
S&P DJI’s paper, A Tale of Two Benchmarks (first published in in 2009 and later updated in 2015 and 2019), showed that the S&P SmallCap 600® has structurally outperformed the Russell 2000, primarily benefiting from S&P DJI’s index inclusion criteria for profitability, liquidity, and public float. The paper also delves deeper into several secondary attribution…
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Demystifying the June 2020 Annual Dividend Rebalance
During the months of March to May this year, dividend concerns came to the fore as many companies, globally, announced cuts, cancellations, and postponements to their respective dividend programs. We examined the impact of these public announcements on the S&P DJI Dividend Indices, and our assessment then revealed that the extent to which indices were…
 Categories Equities
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Big Sector Shifts in Low Volatility Composition
In March, COVID19 inspired volatility roiled markets across the globe. Similarly, the volatility of the S&P/TSX Composite also jumped. The increase, however, was not balanced across all sectors. We see this manifested in the most recent rebalance for the S&P/TSX Composite Low Volatility Index. Effective after the close of trading April 24, 2020, Exhibit 1…
 Categories Equities, Factors, Strategy

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2020, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P TSX Composite, S&P/TSX Capped Composite Sector Indices, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P TSX Composite, S&P/TSX Capped Composite Sector Indices, sectors, smart beta, smart beta strategies, strategic beta, strategy index
A Changed World
The world looks much different than it did three months ago. Since then equities hit their alltime peak, entered a bear market, exited a bear market, and currently sit 15% off peak with sustained higher volatility levels. The latest rebalance for the S&P 500 Low Volatility Index®, effective after the close of trading today, rotated…
 Categories Equities, Factors, Strategy

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2020, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Protection and Participation
Through Feb. 20, 2020, the S&P 500 Low Volatility Index® is up 5.9% compared to a gain of 4.7% for the S&P 500. Equities roared out of the gate in 2020 but a hiccup in late January allowed Low Vol to catch up and eventually overtake the S&P 500. Those who are familiar with low…
 Categories Equities, Factors, Strategy

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2020, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2020, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Winning by Losing Less
Except for a couple of hiccups, the U.S. stock market has more or less hummed along in an upward trajectory for 2019. Through October, the S&P 500 is up 23%. What is surprising is that the S&P 500 Low Volatility Index® outperformed the benchmark by almost 3%, gaining 26% over the same period. This is…
 Categories Factors, S&P 500 & DJIA, Strategy

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2019, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 Factors, S&P 500 & DJIA, Strategy
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 2019, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
The Calm That Was
Through the end of July, equities had netted a nice gain for 2019 (though the picture looks a lot different so far in August). Unusually, the S&P 500 Low Volatility Index® outperformed in an environment when it has typically lagged its benchmark. (The S&P 500 gained 20.2%, while the low volatility index was up 20.8%,…
 Categories Equities, Factors, Strategy

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2019, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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 2019, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
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…
 Categories Equities, Factors, Strategy

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2019, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology, utilities
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 2019, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology, utilities
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…
 Categories Equities, Factors, Strategy

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2019, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology, utilities
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 2019, defensive strategies, Factor, factor analysis, factor investing, factorbased strategies, Fei Mei Chan, index investment strategy, low volatility, low volatility strategies, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology, utilities