Tag Archives: S&P 500 Low Volatility Index
The Market Is Up, But So Is Volatility
So far, 2020 has brought us a global pandemic, a coordinated global economic shutdown, and, in the U.S., a notably contentious election. So it’s no surprise that volatility has been, and remains, elevated. Despite all this, equities have fared reasonably (some would say surprisingly) well, with the S&P 500® climbing 13% through Nov. 19 since…
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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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, 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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Battle of Factors: Low Volatility versus High Beta
2020 has surprised us all with a number of firsts. Not only did we witness wild swings in the market from one quarter to the next, we also saw an unusual performance of commonly followed factors. While this blog will not attempt to predict factor performance, it will address recent factor behavior and put this…
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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, 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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
The Irrelevance of Value in Low Volatility
Low volatility strategies have achieved considerable market acceptance in the aftermath of the 2008 financial crisis. For most of the 12 years since then, skeptics have argued that low vol might become, and sometimes that it has become, overvalued. It’s an understandable concern, especially in light of the continuing popularity of low volatility strategies. We…
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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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, 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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, 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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, 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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, 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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, 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, rebalance, risk management, S&P 500, S&P 500 Low Volatility, 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, rebalance, S&P 500, S&P 500 Low Volatility, 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, rebalance, S&P 500, S&P 500 Low Volatility, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index, technology, utilities
Spoiler Alert: Yes
We recently updated our paper asking Is the Low Volatility Anomaly Universal? The alert reader (and we have no other kind) will have guessed that it is. This is an empirical conclusion, but a theoretical digression might help explain why this is so remarkable. Low volatility strategies explicitly seek to lower the risk of a…
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