Most stocks in this area have been quietly jogging through
this low volatility period, waiting to break out into a sprint.
It uses Bollinger Bands to find
low volatility periods to avoid false breakouts.
Likewise,
low volatility periods develop when large funds and institutions actively square up their positions in the morning and make no adjustments in the afternoon.
Not exact matches
LONDON, April 20 - British emerging markets - focused hedge fund Onslow Capital Management has closed after a long
period of
low volatility hit returns and assets fell below a sustainable level, it said in a letter to investors.
Actual results, including with respect to our targets and prospects, could differ materially due to a number of factors, including the risk that we may not obtain sufficient orders to achieve our targeted revenues; price competition in key markets; the risk that we or our channel partners are not able to develop and expand customer bases and accurately anticipate demand from end customers, which can result in increased inventory and reduced orders as we experience wide fluctuations in supply and demand; the risk that our commercial Lighting Products results will continue to suffer if new issues arise regarding issues related to product quality for this business; the risk that we may experience production difficulties that preclude us from shipping sufficient quantities to meet customer orders or that result in higher production costs and
lower margins; our ability to
lower costs; the risk that our results will suffer if we are unable to balance fluctuations in customer demand and capacity, including bringing on additional capacity on a timely basis to meet customer demand; the risk that longer manufacturing lead times may cause customers to fulfill their orders with a competitor's products instead; the risk that the economic and political uncertainty caused by the proposed tariffs by the United States on Chinese goods, and any corresponding Chinese tariffs in response, may negatively impact demand for our products; product mix; risks associated with the ramp - up of production of our new products, and our entry into new business channels different from those in which we have historically operated; the risk that customers do not maintain their favorable perception of our brand and products, resulting in
lower demand for our products; the risk that our products fail to perform or fail to meet customer requirements or expectations, resulting in significant additional costs, including costs associated with warranty returns or the potential recall of our products; ongoing uncertainty in global economic conditions, infrastructure development or customer demand that could negatively affect product demand, collectability of receivables and other related matters as consumers and businesses may defer purchases or payments, or default on payments; risks resulting from the concentration of our business among few customers, including the risk that customers may reduce or cancel orders or fail to honor purchase commitments; the risk that we are not able to enter into acceptable contractual arrangements with the significant customers of the acquired Infineon RF Power business or otherwise not fully realize anticipated benefits of the transaction; the risk that retail customers may alter promotional pricing, increase promotion of a competitor's products over our products or reduce their inventory levels, all of which could negatively affect product demand; the risk that our investments may experience
periods of significant stock price
volatility causing us to recognize fair value losses on our investment; the risk posed by managing an increasingly complex supply chain that has the ability to supply a sufficient quantity of raw materials, subsystems and finished products with the required specifications and quality; the risk we may be required to record a significant charge to earnings if our goodwill or amortizable assets become impaired; risks relating to confidential information theft or misuse, including through cyber-attacks or cyber intrusion; our ability to complete development and commercialization of products under development, such as our pipeline of Wolfspeed products, improved LED chips, LED components, and LED lighting products risks related to our multi-year warranty
periods for LED lighting products; risks associated with acquisitions, divestitures, joint ventures or investments generally; the rapid development of new technology and competing products that may impair demand or render our products obsolete; the potential lack of customer acceptance for our products; risks associated with ongoing litigation; and other factors discussed in our filings with the Securities and Exchange Commission (SEC), including our report on Form 10 - K for the fiscal year ended June 25, 2017, and subsequent reports filed with the SEC.
Low -
volatility periods historically have lasted a long time.
Periods of
low volatility also do not imply that higher
volatility is imminent.
For example, in
periods of
low market
volatility and average demand, a one ounce gold American Eagle coin might be offered at 4.5 % over spot, but
periods of weak demand can bring the price down to 3.5 % over spot, or
lower.
While it's tempting to buy
volatility at these
low levels, history shows that in the absence of a catalyst,
volatility can stay
low for extended
periods.
Indeed, the recent spurt of integration has occurred during a sustained
period of relatively strong global growth, relatively stable and
low inflation, and, although less widespread, a reduction in the
volatility of growth.
This rally has been so strong that many global indices have gone up in a straight line, registering gains up to 300 % over that time
period with
volatility hitting historical
lows.
Feb 26, 2016: The popularity of
low -
volatility strategies during the latest
period of market turbulence has not diminished their effectiveness.
Even with
low interest rates, bonds and preferred shares also protect the portfolio during
periods of higher equity
volatility.
He then described the current crop of prognosticators as falling into two camps; those that believe current
volatility is an aberration and
periods of relatively
low volatility — like 1995 — were the norm.
We've had a few of them lately and they come after a
period of near record
low volatility, making them even more jarring.
A key question for many investors is whether the sleepy summer
period of
low volatility will give way to a more turbulent autumn.
They are searching for yield but interest rates from fixed income products have generally been
low, and there is fear that equity markets could be nearing a
period of intensified
volatility.
Oil - related revenue has dwindled since 2015 as a
period of
low prices reduced interest from producers and consumers in financial instruments that offer protection against price
volatility, said Amrit Shahani, research director at Coalition.
If anything, today's action just signals that the
low -
volatility period is over and the market has now returned to it's normal behavior.
This very
low market
volatility can lead investors to take on more risk, and in a
period of still relatively
low interest rates, to «reach for yield» — that is, buy riskier assets than one would otherwise, in order to achieve a desired profit or savings goal.
After a long
period of much
lower than average
volatility (in 2017, the S&P 500 hit 64 record highs, with only four single - day declines of more than 1 %), this has been surprising for many investors.
Also, in general, keep in mind that it often makes sense to sell options in
periods of high
volatility, when option prices are elevated, and buy options in
periods of
low volatility, when options are cheaper.
Implied
volatilities gradually declined around the world in the second half of 2003, as it became clearer that the easing cycle was drawing to a close, with some central banks beginning to tighten monetary policy after a prolonged
period of relatively
low and stable interest rates.
I highlighted the prospects of a change in market regime from one of ultra
low volatility to a
period of higher
volatility.
Years of shallower drawdowns typically have coincided with
periods of
lower volatility.
After an extended
period of record - high stock prices and record -
low volatility, the current dip offers an opportunity to:
Dividend aristocrats have a 13.8 % standard deviation over the last 10 years, demonstrating
lower volatility than the S&P 500, which recorded a 14.9 % standard deviation over the same
period.
It's easy to think that markets have been on a steady grind higher during this
period of
low volatility, but when we look more closely, we find that there have been distinct, dynamic and evolving trends in place.
The materials sector is 5 per cent
lower than at end October and has shown considerable
volatility during the
period because of the conflicting effects of strong increases in metals prices and concerns about the appreciation of the Australian dollar.
That said, I think this current
period of
low volatility has come with a lot of benefits.
Options traders can concentrate on net buying strategies during
periods of
low volatility and shift to net selling strategies during
periods of high
volatility.
We really hadn't seen that sort of action for some time as
volatility had remained relatively
low for an extended
period.
Over the preceding twenty - year
period, furniture expenditure averaged growth of 1.1 per cent each year (with high
volatility), which is
lower than inflation and
lower than average school and resource budgets.
Volatility cycles between high and
low periods, just as all market cycles undergo some degree of change either through external stimuli or evolution.
For those too young to remember, from 2004 to 2007, fixed income markets witnessed a
period of
low volatility, even as central banks were raising rates and the yield curve flattened.
The back - tested results of the 17 - year
period ending Feb. 28, 2017, show that the S&P U.S. High Yield
Low Volatility Corporate Bond Index may offer an intersection that bridges the volatility gap between the high - yield and investment - grade bond sectors, with increased return e
Volatility Corporate Bond Index may offer an intersection that bridges the
volatility gap between the high - yield and investment - grade bond sectors, with increased return e
volatility gap between the high - yield and investment - grade bond sectors, with increased return efficiency.
A similar analysis over the five - year
period through July 2016 reveals that the fund cumulatively returned 18.8 % compared to 28 % for its reference ETF portfolio that had a slightly
lower volatility.
While there are shorter term gyrations in the
volatility of inflation during these
periods, in all three, the longer - term trend was
lower.
Bollinger Squeeze setup uses decreasing Bandwidth (the Squeeze) to find
periods of
low volatility and trades price breakouts from sluggish price action.
This setup is extremely useful for trading options as it pinpoints explosive price moves following
periods of
low volatility.
Periods of
low volatility often coincide with higher levels of valuation, and that sort of
low economic variability can help to generate stock market bubbles.
If you haven't closed your positions yet, you could be frustrated by
periods of
low volatility or consolidation.
Using the 10 - year U.S. Treasury Bond yield as the proxy for interest rates, Exhibit 1 shows the historical performance of the S&P 500
Low Volatility and S&P 500 indices in
periods of significantly increased interest rates.
For example, in the post-2010
period, return increased from the
lowest volatility quartile to the second and third quartile, but then decreased for the highest
volatility quartile.
Risk - adjusted returns, calculated as the ratio of return to
volatility, was the highest for the least volatile portfolio, and decreased consistently from the
low volatility to high
volatility quartiles in all three observation
periods.
In this blog, we review the historical performance of the S&P 500
Low Volatility Index to the S&P 500 in rising interest rate
periods to confirm whether or not this is the case.
The S&P 500
Low Volatility Index underperformed the S&P 500 in 9 of the 10
periods, with an average excess return of -8.92 % and median excess return of -5.44 %.
Prolonged bull markets with
periods of
low volatility can create risk complacency and even risk amnesia.
In this
period, the S&P 500
Low Volatility Index underperformed by nearly 42 % from October 1998 through January 2000.
For the full time
period, the highest
volatility quartile delivered the
lowest accumulated return among the quartile portfolios.