In the factor world of investing, Low Volatility and Quality have been commonly referred to as defensive factors. The following is an examination of the performance of the S&P 500 Quality Index and the S&P 500 Low Volatility Index compared to the S&P 500 during the last 3 equity bear markets. The graphs and data…
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The equity risk premia from factors (such as quality, momentum, and low volatility) have been widely accepted and adopted by investment practitioners across the globe and South Africa alike. The belief by many is that exposure to these risk factors, in addition to the market, could reward investors over the long term. While the long-term…
The S&P 500® Quality, Value & Momentum Multi-Factor Index is designed to measure the performance of stocks having the highest combination of quality, value, and momentum (QVM). It takes a “bottom-up” approach of scoring each stock on its individual factor attributes and selecting stocks that jointly score highest across all the factors [1]. In light…
There is a subtle but important distinction between factors and factor indices. “Factor” denotes an attribute with which long-term excess returns are thought to be associated. Fama and French, for instance, famously found that small size and cheap valuation were factors in this sense. A number of other variables – prominently including momentum, low volatility,…
How does the low volatility factor respond to periods of crisis and do the results tend to hold over the long term in India? S&P DJI’s Koel Ghosh takes a closer look at the low volatility anomaly in India.
A wise man told me years ago that there are some things you can’t get if you go after them directly. If you’ve ever watched someone trying to sound interesting, you’ll realize the truth of my friend’s observation. There are plenty of interesting people out there, of course, but they achieve that status by pursuing…
COVID-19 driven volatility has caused market participants to refocus on defensive strategies. As investors turned to quality, the S&P 500® Quality Index demonstrated better downside protection and outperformed. Furthermore, it offered a sizable dividend yield of 2.2%. This analysis investigates attributes of the index. Breaking Down Components From all-time highs on Feb. 19, 2020, to…
The S&P/B3 Low Volatility Index Celebrates Five Years of Outperforming Its Benchmark The COVID-19 pandemic hit the Brazilian equity market hard, causing the worst monthly performance since September 1999.[1] As measured by the S&P Brazil BMI, the Brazilian equity market lost 29.80% in March 2020. The S&P/B3 Low Volatility Index exceeded its benchmark by 640…
In January 2019, we highlighted several indices designed to reduce the impact of large equity market drawdowns. Here we analyze the same suite of indices divided across three broad categories: defensive equity, multi-asset, and volatility. This analysis simply reviews performance since the S&P 500®’s high on Feb. 19, 2020, through the close on Friday, March…
What story is Optimal Asset Management’s Factor Allocator’s analysis trying to tell us? First, it is important to note each strategy has a factor fit quality reading above 80% (the S&P 500 High Dividend Index – 83.72% and the S&P 500 Dividend Aristocrats – 87.62%) which means the analysis of factor exposures appears useful in…
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