Tag Archives: low volatility investing
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 benchmark, low volatility investing
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Recap of London Quant Group Spring Seminar
The London Quant Group Spring Seminar took place this Monday and Tuesday 2011 May 16-17. There were 9 talks — I give a brief (and biased) summary of each. Dan di Bartolomeo Dan talked about the information ratios that active managers have. He claims that the information ratio is upwardly biased compared to what we … Continue reading
Posted in Quant finance
Tagged information ratio, low volatility investing, Value at Risk
4 Comments
Who are the innocent bystanders?
High volatility stocks are, in general, nonsensical. Who’s to blame? The high vol gamble Theory says that investors demand higher returns for higher volatility assets. Reality says that the most volatile stocks have the lowest expected returns. See, for example, The volatility puzzle solved? — specifically Figure 2. That this particular theory doesn’t hold means … Continue reading
Anomalies meet volatility
Isn’t the horse facing the cart? “A New Look At Minimum Variance Investing” by Bernd Scherer (SSRN version) looks at a few aspects of minimum variance portfolios. We’ve been in this neighborhood before with The volatility puzzle solved? This post contains some comments on Bernd’s paper. Efficient frontiers My first concern with the paper is … Continue reading
The volatility puzzle solved?
Finance textbooks say that more volatile assets should have higher returns. The volatility puzzle is that that doesn’t always hold true. You should be getting used to textbooks not always being right. Harin de Silva gave a talk last week entitled “Low Volatility Portfolios: A Free Lunch?” at a meeting of the CFA Society of … Continue reading
