S&P 500 Low Volatility Index Performance Analysis

This technical report reviews the performance of the S&P 500 Low Volatility Index over its 15-year history since its launch in April 2011. It provides a transparent, rules-based approach to track the low volatility anomaly, where less volatile stocks tend to deliver superior risk-adjusted performance compared to their higher volatility counterparts. The report details the index's performance across various market conditions, including bull markets and economic cycles, and highlights its ability to navigate significant drawdown events. Through 15 exhibits, the report analyzes the index's annualized performance, volatility, and risk-adjusted performance metrics. It also discusses the index's asymmetric capture ratios, demonstrating its tendency to participate in market upturns while limiting downside exposure during downturns. Additionally, the report compares the index's performance against the S&P 500 and the S&P 500 High Beta Index, illustrating its effectiveness as a risk management tool for market participants.