Since the previous rebalance for the S&P 500® Low Volatility Index on Nov. 17, 2023, and its most recent on Feb. 16, 2024, the S&P 500 delivered a stunning 11.3% return. During this period, the S&P 500 Low Volatility Index was up 5.3%, strong by historical standards, albeit underperforming the S&P 500. As has been the trend recently, the S&P 500 Low Volatility Index historically tends to underperform during periods of low volatility for the S&P 500. Over this period, the annualized daily standard deviation for the S&P 500 was just 10.1%. 
As Exhibit 2 shows, trailing one-year volatility decreased for all GICS sectors except for Industrials as of Jan. 31, 2024, versus Oct. 31, 2023. The widespread decline in volatility continued the trend that took place throughout most of 2023. Measured in absolute terms, the sectors with the largest declines in volatility were Consumer Discretionary, Communication Services and Materials, which dropped by 3.6%, 2.9% and 2.7%, respectively. Industrials was the only sector with an increase in volatility, rising from 15.9% to 19.0%. 
Amid the overall decrease in volatility, the S&P 500 Low Volatility Index’s latest rebalance brought changes to sector weightings, although the changes were more muted than recent rebalances. Consumer Staples lost 2.4%, the most of any sector, although it retained its position as the highest-weighted sector, at 23.4%. The largest recipients were Information Technology and Health Care, receiving 1.8% and 1.4%, respectively. Materials received a 1.0% allocation, resulting in all 11 GICS sectors now being represented in the S&P 500 Low Volatility Index. The latest rebalance was effective after the market close on Feb. 16, 2024. 
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