Holding Steady...

The market has recovered most of the losses from March’s uproar, with the S&P/TSX Composite Index down 4.8% in 2020 through Sept. 17. Volatility, though off its March peak, continues to be high but has been evenly distributed across all sectors of the market.

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Since all sectors experienced similar increases in volatility, it’s not surprising that the latest rebalance for the S&P/TSX Composite Low Volatility Index, effective after the close of trading Sept. 18, 2020, wrought minimal changes.

There were no shifts in sector allocation of more than 2%. What Real Estate gave up went into Financials. Energy experienced the largest spike in volatility, but the index has had no holdings from the sector since three rebalances ago. What is most notable about this rebalance is the perseverance of status quo…which seems to signify the regime change that we observed in April might be sticking around. This trend can be observed in the U.S. market as well.

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