Get Indexology® Blog updates via email.


Tag Archives: S&P 500 Low Volatility Index

Aug 19, 2022

Low Volatility Holds Its Own

If the first six months of 2022 were defined by the woes of equities, the year’s second half has been defined (so far!) by a comeback. Since hitting a low in mid-June, the S&P 500® has gained an impressive 17.1% through Aug. 18, 2022. In such an environment, low volatility strategies are expected to underperform,…

READ

Aug 2, 2022

Time Sensitivity and Volatility Management

We all know that in the long run, the U.S. stock market has performed very well, compounding at well over 10% per year for nearly a century. We also know that sometimes the market performs very poorly, as the S&P 500®’s 20% decline in the first half of 2022 reminds us. For an investor who…

READ

May 20, 2022

A Reliable Strategy in Unreliable Times

Try as one might, it is hard not to notice the woes of equities this year. Through May 19, 2022, the S&P 500® has declined 18%, losing 9% in the last three months alone. This pain was felt across most sectors of the index, with only Consumer Staples, Energy, and Utilities in positive territory for…

READ

Mar 22, 2022

Holding Period Returns

What is the appropriate observational period for evaluating an investment strategy? This question is important, because different observational periods can produce different conclusions. For example, for the first 11 weeks of 2022, one of our better-performing factor indices has been the S&P 500® Low Volatility Index. Through March 18, 2022, Low Vol had declined 4.7%,…

READ

Mar 3, 2022

Rising Rates’ Repercussions

Which of the figures in Exhibit 1 belong together? Even if puzzles aren’t your strong suit, it’s not hard to observe that A and C are similar, as are B and D. A and C are not like B and D. Exhibit 1’s puzzle is rooted in recent economic news, specifically in the consensus view…

READ

Feb 18, 2022

Two Volatile Sectors

Since the last rebalance for the S&P 500® Low Volatility Index on Nov. 19, 2021, the market has experienced gyrations not seen since February 2021. The S&P 500 declined 6.44% since the November rebalance, with daily changes of greater than 1% almost half (44%) of the time. Low volatility strategies are designed to smooth out…

READ

Nov 19, 2021

Information Technology Has Evolved to Become a Consistent Presence in the S&P 500 Low Volatility Index

Equities in 2021 had a slow start, but as December approaches it looks to be another stellar year. Through Nov. 18, 2021, the S&P 500® was up 27%. For a strategy that is explicitly designed to mitigate risk, the S&P 500 Low Volatility Index’s year-to-date gain of “only” 17% is well within the range of…

READ

Aug 20, 2021

Stalwarts Continue to Increase Presence in the S&P 500 Low Volatility Index

If the equity market’s report card so far in 2021 is any indication, it’s on track to be another stellar year. Through Aug. 19, 2021, the S&P 500® is up 17%. The gains were achieved steadily; apart from January, the benchmark has been up every month in 2021. Predictably, in such an environment the S&P…

READ

May 21, 2021

A Return to Normalcy?

The onset of the COVID-19 pandemic a year ago produced the highest-ever monthly volatility reading for the S&P 500® in March 2020. Volatility began to decline as the market’s recovery began, but if we measure volatility on a 12-month trailing basis, as we do in Exhibit 1, we see the sustained impact of last year’s…

READ

Feb 19, 2021

Low Turnover in the S&P 500 Low Volatility Index Reflects Broader Market Dynamics

It’s been almost a year since the COVID-19 pandemic hit the U.S., but despite the disruption it brought to daily life, the U.S. equity market has performed remarkably well—rallying powerfully after a sharp decline in March 2020. Through Feb. 18, 2021, the S&P 500® was up 24% since the end of 2019. In the same…

READ


Get Indexology® Blog updates via email.

Indexology® Blog
Contributors

SEE ALL