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Tag Archives: S&P 500 Low Volatility Index

Aug 30, 2023

S&P 500 Low Volatility Index August 2023 Rebalance

The S&P 500® performed well from the last rebalance for the S&P 500 Low Volatility Index on May 19, 2023, through the most recent rebalance on Aug. 18, 2023. As Exhibit 1 shows, the S&P 500 was up 4.7% during this period versus a decline of 1.5% for the S&P 500 Low Volatility Index. This…

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Jul 24, 2023

Comparing Defensive Factors in the Recent Market Environment

On Sept. 17, 2020, S&P DJI’s Indexology blog shared a post I wrote titled “Comparing Defensive Factors During the Last 3 Bear Markets.” This blog is a continuation of that study, examining the results of the same factors during the 18-month period around the 2022 market correction that led the S&P 500® officially into bear…

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Jun 8, 2023

S&P 500 Low Volatility Index May 2023 Rebalance

Since the last rebalance for the S&P 500® Low Volatility Index on Feb. 17, 2023, the S&P 500 finished up 3.2% despite briefly dropping in mid-March during the collapse of Silicon Valley Bank. Exhibit 1 shows that during this period, the S&P 500 Low Volatility Index underperformed the S&P 500 by 4.3%. This divergence is…

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Feb 20, 2023

Equities Recover

In the first seven weeks of 2023, U.S. equities regained a third of the ground lost in 2022 (down 18.1% in 2022 and up 6.5% YTD through February 17, 2023). Exhibit 1 shows that since its last rebalance, the S&P 500® Low Volatility Index, which seeks to mute the gyrations of the market in both…

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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,…

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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…

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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…

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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%,…

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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…

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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…

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