set a closing high Feb. 19. After that, the index fell 25.2% (with dividends reinvested) through March 17. This has been the most volatile period for U.S. stocks since the 2008 financial crisis, according to analysts at Goldman Sachs.
from the close Feb. 19 through March 17. All ETF returns in this article are after fees:
Here’s the same comparison for three years through Feb. 19:
And five years through Feb. 19:
You may have expected the lower-volatility ETF to perform better than the full S&P 500 in the near term. But if you go back to May 5, 2011, when SPLV was established, its total return through the record high Feb. 19, 2020, was 208.5%, ahead of the 202.1% return for SPY.
For three years through, SPLV returned 53.1%, ahead of SPY’s 52.4% return, and for five years it returned 79.7%, ahead of SPY’s 77.9% return.
So the low-volatility approach for large-cap U.S. stocks had much less of an advantage during the bull market, but still came out ahead.
Small- and mid-cap low-volatility ETFs
Here’s a comparison of total returns between the Invesco S&P Mid-Cap Low Volatility ETF
So the patterns hold through all three groups, with the low-volatility approaches outperforming the broad indexes during good times and bad, despite the higher annual expenses for the low-volatility ETFs.
Least and most volatile S&P 500 stocks
FactSet provided daily price volatility standard deviation for the S&P 500 for Feb. 19 through March 17. Here are the 20 components of the S&P 500 with the least amount of volatility during that period:
The technical storage or access is strictly necessary for the legitimate purpose of enabling the use of a specific service explicitly requested by the subscriber or user, or for the sole purpose of carrying out the transmission of a communication over an electronic communications network.
The technical storage or access is necessary for the legitimate purpose of storing preferences that are not requested by the subscriber or user.
The technical storage or access that is used exclusively for statistical purposes.The technical storage or access that is used exclusively for anonymous statistical purposes. Without a subpoena, voluntary compliance on the part of your Internet Service Provider, or additional records from a third party, information stored or retrieved for this purpose alone cannot usually be used to identify you.
The technical storage or access is required to create user profiles to send advertising, or to track the user on a website or across several websites for similar marketing purposes.