Monthly Archives: July 2011

Benchmarking low-volatilty strategies

Low volatility investing and performance measurement — my favorite topic scheme — how could I resist? The paper The paper is “Benchmarking Low-Volatility Strategies” by David Blitz and Pim van Vliet. The problem They claim that using a low-volatility index as a benchmark for a low-volatility strategy is not a good idea because: All low-volatility … Continue reading

Posted in Fund management in general, Performance | Tagged , | 11 Comments