Tag Archives: S&P 500 Low Volatility
An Efficient, Rules-Based Approach to Factor Rotation
Explore how the design of the S&P 500 Factor Rotator Daily RC2 7% Index is helping democratize access to factor investing, providing a simple, rules-based blueprint for building dynamic factor strategies.
- Categories Factors, Strategy
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dynamic rebalancing, factor investing, Factor Rotation, indexing, Indexing insurance, low volatility, multi-asset, Multi-Factor, risk control 2.0, S&P 500 Enhanced Value, S&P 500 Factor Rotator Daily RC2 7% Index, S&P 500 Factors, S&P 500 High Dividend, S&P 500 Momentum, S&P 500 Quality, S&P Dow Jones Indices, U.S. Treasuries
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- dynamic rebalancing, factor investing, Factor Rotation, indexing, Indexing insurance, low volatility, multi-asset, Multi-Factor, risk control 2.0, S&P 500 Enhanced Value, S&P 500 Factor Rotator Daily RC2 7% Index, S&P 500 Factors, S&P 500 High Dividend, S&P 500 Momentum, S&P 500 Quality, S&P Dow Jones Indices, U.S. Treasuries
Happy Birthday to Low Vol and High Beta!
On April 4, 2011, S&P DJI launched two strategy indices, the S&P 500® Low Volatility Index and the S&P 500 High Beta Index. Ten years of live history let us compare how the two indices actually performed versus their pre-launch back-tests. Many investors take back-tested history with an understandable grain of salt. But even live…
- Categories Factors
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Comparing Defensive Factors During the Last 3 Bear Markets
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…
- Categories Factors
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- Factors
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A Stable Regime
In recent days the S&P 500 reached multiple new highs, despite the still-uncertain nature of the economy’s recovery from the COVID-19 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, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, 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, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Observing a Regime Change
In politics, “regime change” denotes the replacement of one governmental structure with another; in economics, we use the same term to indicate a shift in the interactions of various parts of the economic or financial system. Political regime changes are easy to identify (after all, a military coup is hard to miss). Defining when an…
- Categories Equities, Factors, S&P 500 & DJIA, Strategy
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A Changed World
The world looks much different than it did three months ago. Since then equities hit their all-time 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, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, 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, factor-based strategies, Fei Mei Chan, Index Investment Strategy, low volatility, low volatility strategies, rebalance, risk management, S&P 500, S&P 500 Low Volatility Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index
Putting Defensive Indices to the Test
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…
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Cushioning the Decline
With the S&P 500 down -14.7% for calendar 2020, and -18.8% since its peak in late February, investors are rightly concerned to identify strategies that might help to mitigate the ongoing decline. A number of defensive factor indices have performed relatively well in March, but the leader for the year so far is S&P 500…
- Categories Equities, Factors, S&P 500 & DJIA, Strategy
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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…
- Categories Equities, Factors, Strategy
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2020, defensive strategies, Factor, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P 500 Low Volatility Index, smart beta strategies, strategic beta, strategy index
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- 2020, defensive strategies, Factor, factor analysis, factor investing, factor-based strategies, Fei Mei Chan, Index Investment Strategy, institutional investor, low volatility, low volatility strategies, risk management, S&P 500 Low Volatility Index, 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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Other Tags
2020, defensive strategies, Factor, factor analysis, factor investing, factor-based 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 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, factor-based 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 Index, S&P 500 Sectors, sectors, smart beta, smart beta strategies, strategic beta, strategy index