Oct

3

SPLV is an ETF with the 100 lowest-volatility stocks in the SP500, which started trading May 2011. Using close-close daily returns, here is regression of SPLV vs SPY:

The regression equation is SPLV = 0.000693 + 0.697 SPY

Predictor Coef     SE Coef    T      P
Constant 0.0007 0.00038 1.83 0.070
SPY        0.69662 0.02207 31.57 0.000

S = 0.00383423 R-Sq = 90.8% R-Sq(adj) = 90.7%

beta of SPLV is 0.7, and alpha for the 4-month down period is almost significant 0.07%.

And so far SPLV is indeed less volatile than SPY (comparison of variance of daily returns):

Test for Equal Variances: SPLV, SPY

95% Bonferroni confidence intervals for standard deviations

           N     Lower            StDev       Upper
SPLV 103 0.0108657 0.0125769 0.0148974
SPY 103 0.0148627 0.0172035 0.0203776

F-Test (normal distribution) Test statistic = 0.53, p-value = 0.002

Levene's Test (any continuous distribution) Test statistic = 4.72, p-value = 0.031


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