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 out 64 names in the index (63% in weight). For context, the median annual turnover for the last 28 years has been 64%. This quarter’s turnover is notable not just for its size, but also because of some large shifts in sectoral allocation, as shown in Exhibit 1. Low Vol’s weighting in Utilities fell by 21%, Real Estate by 16%, and Financials by 11%, while Health Care (+21%) and Consumer Staples (+13%) witnessed double-digit gains.

Read the complete whitepaper now at the link below