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 history can be deceptive if it doesn’t encompass market environments that reflect the full spectrum of reality. All strategies should be tested through different market environments, particularly strategies like low volatility and high beta that explicitly seek to provide a particular pattern of relative returns. Low volatility strategies seek to attenuate, and high beta strategies to amplify, the performance of the overall market. The behavior of both is therefore highly dependent on the market’s returns.
You can now read the full whitepaper at the link below