Tag Archives: S&P 500 Sectors

Let’s talk about Communication

One of the largest ever changes to the Global Industry Classification Standard (GICS®) went into effect prior to the open on Monday 24th September, affecting around 10% of the S&P 500’s market capitalization.  In case you missed our previous announcements, here is a brief explanation of GICS, what changed, and why these changes went into Read more […]

The Virtues of Slow and Steady

For most of 2018, the S&P 500 Low Volatility Index® underperformed its parent S&P 500. Through the first nine months of 2018, the S&P 500 climbed 11% while the S&P 500 Low Volatility Index was up only 6%. Then October came and, in one month of acute volatility, the low volatility index recaptured parity with Read more […]

Looking Through The Sector Lens

We’ve recently noted that this month’s market turmoil created a radical reversal of factor returns, poking holes in this year’s momentum bubble. A similar trend has occurred within sectors.  During the first nine months of 2018, Consumer Discretionary and Info Tech dominated performance, as seen in Exhibit 1. For the first two weeks of October, Read more […]

Higher Concentrations in the S&P 500 could lead to Equal Weight Outperformance

At last Friday’s close, S&P Dow Jones assigned a number of technology and consumer discretionary names into a new “Communication Services” sector classification.  Relative to the old Telecommunication Services definitions, the sector has grown from 3 to 22 companies (not counting dual share listings) and is less concentrated in absolute terms.  However, Communications Services remains Read more […]

Real Estate Gains Prominence in the S&P 500 Low Volatility Index

Year to date, the S&P 500 Low Volatility Index® has underperformed its parent S&P 500, up 5.52% compared to a 7.55% (through Aug. 16, 2018 close) increase for the benchmark. Those who are familiar with low volatility strategies will recognize that this performance is consistent with the historical pattern of returns and in line with Read more […]

Sector Volatility Conveys Most (But Not All) of the Story in the Latest S&P 500 Low Volatility Index Rebalance

In January 2018, realized volatility (rolling 252-day) for the S&P 500 reached a 27-year low. Since then, volatility has been steadily creeping up and as of April 30, 2018, it sat at 12.1%—almost double the levels in January. Despite having increased significantly, volatility is still well below the historical average of 16%. Rolling 252-Day Volatility Read more […]

Technology may be de-FANGed, but could the CHANDs leave you hanging?

It has not been a great start to the week for the technology sector, with large-cap tech stocks dragging down equity indices across the globe. With the current media focus on the industry behemoths, suitably arranged into fun acronyms (“FANGs” and so on), investors in the U.S. tech sector might be concerned about the risks Read more […]

The Rise of Sectors: Active and Passive Applications

Investment strategies that switch between sectors or industries – and the related activity of using sectoral performances to discern broader macroeconomic trends – have long been an part of professional investing.  However, it is surprisingly difficult to find even basic research explaining how sectors are classified, why they are important and how they might be Read more […]

The Difference a Few Days Make

For investors, things looked very different between the end of January and the first part of February. Following a few days of market turmoil in February, volatility jumped to levels where it is once again at the forefront of investors’ consciousness. Volatility based on a 252-day lookback generally declined for S&P 500 sectors (Telecom excluded) Read more […]

How Low Can Volatility Go?

There’s still some time remaining in 2017, but if it goes the way the year has thus far, this will be the least volatile year for the S&P 500 in 22 years. Given this context, selection to the S&P 500® Low Volatility Index (an index of the 100 least volatile stocks in the S&P 500) Read more […]