On the one year anniversary of its inception, the PowerShares S&P 500 Low Volatility Portfolio (SPLV) has grown to $1.5 billion in assets under management, according to Invesco PowerShares Capital Management LLC.
The fund, which was listed on May 5, 2011, is the first volatility-weighted ETF available to investors in the U.S., according to Invesco.
Further, Invesco said that since its inception, the PowerShares S&P 500 Low Volatility Portfolio outperformed the S&P 500 Index market-cap weighted benchmark while delivering lower volatility.
For the one-year period ending May 5, 2012, the fund achieved a total return of 11.57% based on net asset value, outperforming the S&P 500 Index which had a total return of 4.80% during the same period. (The company said that the total return figures include all dividends). Additionally, SPLV had a volatility of 16.14%, compared to 23.12% for the S&P 500 Index over the same period, according to Bloomberg L.P. as of May 5, 2012.
The PowerShares S&P 500 Low Volatility Portfolio is based on the S&P 500 Low Volatility Index. The Fund will invest at least 90% of its total assets in common stocks that comprise the Index. The Index is compiled, maintained and calculated by Standard & Poor's and consists of the 100 stocks from the S&P 500 Index with the lowest realized volatility over the past 12 months. Volatility is a statistical measurement of the magnitude of up and down asset price fluctuations over time. The Fund is rebalanced and reconstituted quarterly in Feb, May, Aug, and Nov.
The expense ratio of the fund is 25 basis points.
“Investors’ affinity for low volatility investment strategies is driven by the potential to provide improved risk adjusted returns over long term market cycles,” said Ben Fulton, Invesco PowerShares managing director of global ETFs in a statement. “One of the central themes of the low volatility strategy is the potential for a degree of downside protection in falling markets, while seeking to maintain upside participation.”