Equity market volatility and its impact on returns
U.S. equity markets remain mired in a narrow trading range this month, leaving them roughly flat for all of 2015. With December’s potential interest-rate liftoff approaching, it is possible that equity market volatility could return, equaling or exceeding that experienced this past August and September. Accordingly, we thought it would be timely to share with you an analysis of the impact of volatility on equity market returns, which is excerpted from a white paper we intend to release in December.
The Huygens Market Stress Indicator, and all the investment strategies incorporating it, use volatility prediction as their primary means of active risk management. Historic index return data show that equity returns are consistently higher than average in low volatility periods. High volatility periods, on the other hand, have negative average returns...
Please note that the excerpts from client notes and market commentaries speak only as of the date that they were originally distributed. We do not undertake to update them, and accordingly they may have become inaccurate with the passage of time. If you have questions about any of our materials we invite you to contact us.