1.More Information on Low Volatility Funds.

The table below details SPLV’s portfolio characteristics on a year-by-year basis versus SPY. Values in red denote underperformance by the low-vol portfolio. The fund’s lifetime numbers, shown in the gray row at the bottom of the table, are indeed impressive: a higher average annual return, lower volatility and a resultant higher Sharpe ratio, along with a positive alpha coefficient and information ratio.

Within that time span, however, there’s a lot of, um, volatility in the numbers. In those years when SPLV’s standard deviation was higher than SPY’s, there was a cascading and deleterious effect on returns and other portfolio metrics.

So, what’s the point of all this? Simply put, capture of the low-volatility anomaly is path dependent. Just because there’s a low-vol product available doesn’t mean you’ll always derive immediate benefit from its use. Look at the back-to-back underperformance in the 2012-2013 and 2013-2014 spans. Would you have been disappointed by SPLV back then? Would you have bailed from the low-vol strategy?

Many investors, in fact, did just that. Net outflows mounted in the 2013-2014 period and even spilled over into the subsequent period, just ahead of a couple of banner years. And in the 2016-2017 span, SPLV’s net outflows totaled $1.4 billion as the low-vol ETF significantly lagged SPY.

Good Full Read

When Low-Vol Is Not-Strategy may require some time to pay off. Brad Zigler | Sep 09, 2019

https://www.wealthmanagement.com/etfs/when-low-vol-not?NL=WM-27&Issue=WM-27_20190910_WM-27_38&sfvc4enews=42&cl=article_2_b&utm_rid=CPG09000007333628&utm_campaign=22762&utm_medium=email&elq2=ac7e5eb620b842029b42cb8c15561b82

1.REIT Index +25% vs. S&P +19%

VNQ vs. S&P

www.yahoofinance.com

1.ISM Manufacturing Index Dropped Below 50….New Orders Fell to 2012 Levels.

The August ISM Manufacturing PMI report unexpectedly dipped below 50, which indicates a contraction in factory activity.

https://blogs.wsj.com/dailyshot/

1.Min Volatility ETF USMV Second in Flows to S&P….

Barrons

The iShares Edge MSCI Min Vol U.S.A. ETF (ticker: USMV) has attracted nearly $9.5 billion this year, second only to the broader and much better known Vanguard S&P 500(VOO). The iShares ETF has swelled 42% in the past eight months to $32 billion

The average stock in the iShares ETF trades for 24 times trailing 12-month earnings, versus 19 for the S&P 500; the ETF overall trades at a 17% premium to its MSCI benchmark. A recent study from Leuthold Group found that low volatility stocks, relative to their higher volatility peers, are 99% more expensive than they have been over time, going back to 1990.

2 Big Volatility ETFs Have Very Different Approaches
By Stephen Gandel

https://www.barrons.com/articles/how-to-choose-a-volatility-etf-51567200240?mod=past_editions

1.Stock dividends offer more yield than 30-year Treasury bond for first time since 2009

Published: Aug 28, 2019 1:41 p.m. ET
Occurred only once before in last 40-plus years: Bespoke

 By William Watts

Here’s another consequence of the rally in government bonds that’s sent yields crashing around the globe — U.S. stocks now offer more yield than the 30-year U.S. Treasury bond.

As the chart below, going back to 1977, from Bespoke Investment Group highlights, the Tuesday move marked the first time since the financial crisis that the dividend yield on S&P 500 index companies SPX, +0.57%  has topped the yield on the long bond TMUBMUSD30Y, -1.14%.

“The only other time in the last 40+ years where we have seen a similar inversion was for a few months in late 2008 through March 2009 (the low point of the Financial Crisis),“ Bespoke analysts wrote. “In July 2016 right after the Brexit vote, the S&P 500 dividend yield came within 0.01% of the 30-year’s yield, but it couldn’t quite make it higher.”

All in all, the higher dividend yield should make stocks more attractive.

Bespoke said it was “pretty amazing” to see how many stocks in the S&P 500 now yield more than the 5-, 10- and 30-year Treasurys. As of Tuesday, 333 stocks were yielding more than the 5-year at 1.38%; 313 more than the 10-year at 1.48%; and 256 more than the 30-year at 1.97%.

But for now, falling yields for Treasurys seems to be a negative for stocks as the yield on the 10-year note falls further below the 2-year yield, after slipping below the yield on the 3-month bill earlier this year.

Investors appear to be piling into government bonds, pushing yields down, in part out of fears of a global economic slowdown and the potential for recession as worries over an intensifying U.S.-China trade war mount. An inverted yield curve in particular is seen as a warning signal for a potential U.S. recession, albeit with a lag. Meanwhile, the yield on the 30-year bond has fallen to an all-time low below 2%, while the yield on the 10-year note ended Tuesday at its lowest since 2016, and is within hailing distance of its all-time low below 1.4%.

The S&P 500 and the Dow Jones Industrial Average DJIA, +0.83%  have both pulled back more than 3% in August.

https://www.marketwatch.com/story/stock-dividends-offer-more-yield-than-30-year-treasury-bond-for-first-time-since-2009-2019-08-28?mod=mw_theo_homepage