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The volatility effect: lower risk without lower return

Efficient markets theory has been challenged by the finding that relatively simple investment strategies are found to generate statistically significantly higher returns than the market portfolio. Well-known examples are the value, size and momentum strategies, for which return premiums have been documented in US and international stock markets. Market efficiency is also challenged, however, if […]
Haki CrisdenMarch 17, 2015
Events

Fiduciary investor think tank London – delegate profile

Return to event coverage DELEGATES Jonathan Anayi, director, investment solutions, Winton Capital Ciarán Barr, investment director, RPMI Railpen Keith Carne, first bursar, Kings College, Cambridge Sarah Carter, executive director, Newton Centre for Endowment Asset Management, Cambridge University Nick Cavalla, chief investment officer, Cambridge University David Chambers, director of the Centre for Endowment Asset Management at […]
Haki CrisdenMarch 4, 2015
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Beauty and the beast of low-volatility investing

Usually focusing on how to design the best low-volatility strategy, David Blitz, Matthias Hanauer and Pim van Vliet have set out to construct a very bad low-volatility strategy. Comparing good and bad low-volatility strategies they found very different performance characteristics. Clearly, not all low-volatility stocks are created equal. The results highlight the importance of being […]
Haki CrisdenFebruary 27, 2015
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When factors disagree

Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums. We find that the premiums associated with these strategies tend to shrink, sometimes even to zero, in these periods of factor disagreement. Enhanced factor strategies, on the contrary, are explicitly designed to avoid stocks that are unattractive on other established […]
Haki CrisdenSeptember 30, 2014
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Factor investing, why implementation is important

Factor investing is becoming more popular. Professional investors are increasingly considering investing strategically in certain parts of the financial market which realize better risk-adjusted returns over longer periods. The question is: “How can investors best implement this strategy?”. Read the full article.
Haki CrisdenSeptember 19, 2014
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Why not all low volatility stocks are equal

Low-volatility investing is becoming more popular. Many professional investors currently explicitly allocate a significant portion of their portfolio to low-volatility stocks. Robeco uses an enhanced approach to increase returns and reduce risk. Read the full article.
Haki CrisdenSeptember 15, 2014
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