1.Is the last Month the Start of a Value vs. Growth Trend?
Russell 1000 Value Outperforms Russell 1000 Growth for the Month
Topley’s Top Ten – September 11, 2019
Topley’s Top Ten – September 10, 2019
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
Continue readingTopley’s Top Ten – September 9, 2019
Topley’s Top Ten – September 4, 2019
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/
Continue readingTopley’s Top Ten – September 3, 2019
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
