Tag Archives: low volatility anomaly
Four Decades of the Low Volatility Factor
Many financial theories are based on the idea that riskier investments should offer higher returns. However, there is a bank of evidence – accumulated since the 1970s – showing that less volatile stocks posted higher risk-adjusted returns across a number of time horizons, regions, and market segments, historically. S&P Dow Jones Indices produces a range…
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Braced for Brexit
To say that global financial markets were surprised by results of the June 23rd Brexit referendum would be an understatement. Most market observers had anticipated a victory for Remain. When the Leave camp won, global financial markets reeled from the shock. Low volatility strategies are designed to attenuate returns in either direction, and as such,…
Not Your Father’s Low Volatility Strategy
Low volatility strategies were a popular and growing category in 2015, and if the first several days of 2016 are any indication, it wouldn’t be surprising to see their popularity continue in the new year. That said, the topic of low volatility investing often comes with much discourse. A frequent argument is that a low…
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Unconstrained Sector Weighting: A Feature, Not a Side Effect
Although the low volatility anomaly was first documented more than 40 years ago, it was the trepidation and volatility in the years following the most recent financial crisis that propelled the concept to the forefront of investor interest. In recent years, the phenomenon has been well covered, by both academics and the investment community, in the…
- Categories S&P 500 & DJIA, Strategy
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