Download or read book Low Volatility Cycles written by Luis García-Feijóo and published by . This book was released on 2014 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research showing that the lowest risk stocks tend to outperform the highest risk stocks over time has led to rapid growth in so-called low-risk equity investing in recent years. We examine the performance of the low-risk strategy previously considered in the literature and of a beta-neutral low-risk strategy more relevant to practice. We demonstrate that the historical performance of low risk investing, like any quantitative investment strategy, is time-varying. We find that both of our low-risk strategies exhibit dynamic exposure to the well-known value, size, and momentum factors and appear to be influenced by the overall economic environment. Our results suggest time-variation in the performance of low-risk strategies is likely influenced by the approach to constructing the low-risk portfolio strategy and by the market environment and associated valuation premia.
Download or read book Low Volatility Investing written by Thomas Merz and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Our study provides further insights into the evidence of excess returns of low volatility enhanced portfolios. Based on the framework presented by Campbell and Vuolteenaho (2003), we analyze through-the-cycle as well as stress periods to provide an insight into which portfolio construction technique is most beneficial in enhancing portfolio returns on a risk-adjusted basis. Analyzing a new data set from 2000 through 2015, we find that low volatility enhanced portfolios exhibit extraordinary excess returns during stressed market conditions. Empirically, we find that enhancing portfolios with low volatility building blocks produces on average an excess return between 5.6% and 17.2% for US equity and 1.8% and 16.7% for European equity portfolios during strong market corrections. We provide evidence that across different portfolio construction techniques, relative excess returns become more pronounced the more severe the market correction becomes. While equal weight techniques contribute very steadily to the overall excess return in down cycles, switching techniques show more relative outperformance towards the deeper end of market down cycles.
Download or read book All About Low Volatility Investing written by Peter Sander and published by McGraw Hill Professional. This book was released on 2013-12-10 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: YOU DON'T HAVE TO TAKE HUGE RISKS TO INVEST SUCCESSFULLY Low volatility investing has been proven to outperform higher risk, volatile growth stock trading and investing over time. In today’s markets, this is exactly what you need to consistently draw returns beyond the risk-free rate--and sleep well at night because you're not worried about your investments! Written in a clear, entertaining style, All About Low Volatility Investing provides a firm foundation on volatility in markets and reveals the knowledge you need to make it work for you instead of against you. This one-stop guide describes: What volatility is, and how it is measured and applied Specific ways to appraise low volatility investments Methods for creating a low volatility portfolio How to mix stocks, bonds, real estate, commodities, currencies, funds, and more
Download or read book Multifractal Volatility written by Laurent E. Calvet and published by Academic Press. This book was released on 2008-10-13 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research
Download or read book The Low Volatility Anomaly in the U S and in India An Evaluation in Light of Different Holding Periods and Regimes written by Raahat Achtani and published by . This book was released on 2013 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study evaluates the existence and extent of the low volatility anomaly in a developed market, the U.S and in an emerging market, India from 2004-2012 for holding periods of 1, 3 and 4.5 years and for two sub-periods 2004-2007 and 2008-2012, by creating equally weighted decile portfolios. The results show that the low volatility anomaly exists in India but does not exist in the U.S, which is inconsistent with the hypothesis that it exists in both markets. The results obtained are statistically significant at the 5% significance level. The volatility effect is stronger during the volatile period of 2008-2012 in both markets, and when comparing low volatility Decile 1 and high volatility Decile 10 portfolios, the effect gets stronger when holding period is increased from 1 year to 3 years. The implications are that in India, low volatility stocks give higher returns, whereas in the U.S, the use of low volatility stocks to give higher returns may not be useful even during a period in which the market is characterized by uncertainty.
Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
Download or read book Analysing the Exposure of Low Volatility Equity Strategies to Interest Rates written by Lauren Stagnol and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: At the dawn of a potential rise in rates triggered by Central Banks in both Europe and the United States, doubts are being raised about the ability of low-volatility portfolios to continue to deliver robust performance. We quantify this latent performance lag and provide empirical explanations, distinguishing parallel moves from non-parallel distortions in the yield curve. More specifically, we evaluate the implications from the low-volatility screening on the portfolio's industrial breakdown. The conclusion shows that the overweighting of defensive industries is the main source of underperformance in a risk-on environment. However, these bets happen to be the ones that allow the strategy to outperform over a full economic cycle. Therefore, we propose a method to control the low-volatility exposure to changes in interest rates, which should be of interest to benchmarked portfolio managers.
Download or read book Modelling Volatility Cycles written by Christian Conrad and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Missing Risk Premium written by Eric G. Falkenstein and published by Createspace Independent Publishing Platform. This book was released on 2012-08-16 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk is the deviation from the consensus rather than an exposure to a covariance, and this implies there is no risk premium in general. It also implies that when there are a large number of people buying highly volatile assets, such assets will have negative returns in equilibrium. As there are several independent motivations for people to buy highly volatile assets, intuitively risky assets generally have lower-than-average returns. This novel conception of risk implies many things more consistent with the data than the current theory. Risk taking is an important life skill, so understanding its nature is important, and unfortunately academics who study it full-time are like so many other experts: when not irrelevant, 180 degrees wrong. This book explains the current asset pricing theory, and proposes an alternative, using theory and a unique survey of the data across many asset classes. Familiarity with some MBA level finance is helpful but not necessary to appreciate this book.
Download or read book High Returns from Low Risk written by Pim van Vliet and published by John Wiley & Sons. This book was released on 2017-01-17 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: Believing "high-risk equals high-reward" is holding your portfolio hostage High Returns from Low Risk proves that low-volatility, low-risk portfolios beat high-volatility portfolios hands down, and shows you how to take advantage of this paradox to dramatically improve your returns. Investors traditionally view low-risk stocks as safe but unprofitable, but this old canard is based on a flawed premise; it fails to see beyond the monthly horizon, and ignores compounding returns. This book updates the thinking and brings reality to modelling to show how low-risk stocks actually outperform high-risk stocks by an order of magnitude. Easy to read and easy to implement, the plan presented here will help you construct a portfolio that delivers higher returns per unit of risk, and explains how to achieve excellent investment results over the long term. Do you still believe that investors are rewarded for bearing risk, and that the higher the risk, the greater the reward? That old axiom is holding you back, and it is time to start seeing the whole picture. This book shows you, through deep historical simulation, how to reap the rewards of smarter investing. Learn how and why low-risk, low-volatility stocks beat the market Discover the formula that outperforms Greenblatt's Construct your own low-risk portfolio Select the right ETF or low-risk fund to manage your money Great returns and lower risk sound like a winning combination — what happens once everyone is doing it? The beauty of the low-risk strategy is that it continues to work even after the paradox is widely known; long-term investment success is possible for anyone who can shake off the entrenched wisdom and go low-risk. High Returns from Low Risk provides the proof, model and strategy to reign in your exposure while raking in the profit.
Download or read book Interdisciplinary Approaches to Understanding and Forecasting Volatility written by Irena Vodenska-Chitkushev and published by . This book was released on 2009 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Volatility is a measure of financial market risk and understanding the statistical characteristics of volatility is essential for effective risk management. In this thesis we use statistical physics approaches to analyze the stochastic nature of financial markets and explore the existence of a universal law that governs the financial market system. Such universal law will allow us to study the statistical characteristics of extreme events for which the data is limited, by analyzing more common events where the data is abundant. We use the analysis of return intervals to study the volatility of the S&P 500 Index for different periods between 1984 and 2009, and explore the existence of memory and scaling in the return intervals datasets. Our results show that the long memory in volatility leads to a clustering of above-median as well as below-median return intervals. In addition, we find that the short return intervals form larger clusters compared to the long return intervals. We also study specific market crashes and the behavior of the market after such crashes. We find that the crashes are characterized by the Omori law, which describes the decay in the rate of aftershocks of a given size. We find that within the aftercrash period there are smaller shocks that themselves constitute Omori processes on smaller scales, similar to the Omori process after the large crash. To further analyze the statistical characteristics of the S&P 500 index data, we compare the empirical results with two models, autoregressive moving average - fractionally integrated generalized autoregressive conditional heteroskedastic (ARMA-FIGARCH) model and fractional Brownian motion (fBm) model. We observe that in general, the ARMA-FIGARCH model is statistically different from the market behavior for intermediate thresholds, and the fBm model is statistically different from the market data for small and large thresholds. Also, both ARMA-FIGARCH and fBm capture the long-term dependence in return intervals to a certain extent, but only fBm accounts for the scaling. Finally, we propose a novel method for forecasting high and low volatility periods based on the long memory in the S&P 500 return intervals. We then analyze different derivative-based strategies and compare them with the "long only" strategy where only long equity positions are held and no derivatives are used. Our findings suggest that a protective put option strategy significantly outperforms the "long only" strategy during high volatility periods, while it underperforms the "long only" strategy during periods of low volatility. On the other hand, the covered call strategy does not offer proper protection of the portfolio for high volatility periods, and has limited upside potential when volatility is low.
Download or read book Risk Based and Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2015-11-24 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students
Download or read book An Investor s Low Volatility Strategy written by Feifei Li and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors are displaying a fast-rising appetite for low volatility strategies, given growing academic and empirical evidence of consistent outperformance over the markets from which they are drawn. However, many existing low volatile strategies are optimized, creating biases toward smaller cap stocks and over-concentration in a small number of sectors and/or countries. Instead, we develop a heuristic-based design that leads to a practical portfolio with a superior Sharpe ratio as well as more investor- friendly attributes, including a lower turnover rate, higher investment capacity, relative transparency, and broader market representativeness.
Download or read book Trend Trading For Dummies written by Barry Burns and published by John Wiley & Sons. This book was released on 2014-08-07 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trend trading lets the market do the work for you Is your portfolio doing all it should? Are you looking for a market-focused way to increase returns? Try your hand at trend trading. Instead of analyzing the performance of a company, analyze the performance of the market as a whole. When you spot a trend, jump on it and let it ride until it's time to move. Whether your strategy is short-term, intermediate-term, or long-term, trend trading can help you capitalize on the action of market and get the most out of every move you make. Trend Trading For Dummies will get you up to speed on the ins and outs of this unique technique. You'll learn how to spot the trends and just how heavily market analysis figures into your success. You can get as complex as you like with the data for long-term predictions or just go for quick rides that pump up your gains. Before you jump in, you need to know the basics that can help ensure your success. Learn the rules of trend trading and why you need a solid system Understand technical analysis to make accurate predictions Analyze the market and learn what to look for before you trade Use leverage to your advantage to make better moves Trend Trading For Dummies includes trading strategies that you can use as-is, or customize to suit your needs. Thorough preparation is the key to any good trading plan, and it's no different with trend trading. Trend Trading For Dummies allows you to trade using every angle, and will get you out of or into the market in a flash.
Download or read book Market Volatility written by Robert J. Shiller and published by MIT Press. This book was released on 1992-01-30 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Download or read book Dual Momentum Investing An Innovative Strategy for Higher Returns with Lower Risk written by Gary Antonacci and published by McGraw Hill Professional. This book was released on 2014-11-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
Download or read book Managing Customers Through Economic Cycles written by John McKean and published by John Wiley & Sons. This book was released on 2010-02-18 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether you are a global Fortune 500 organization or a small business Managing Customers Through Economic Cycles show you how to optimize your business's sales and marketing approaches specific to survive and thrive in each economic cycle and transition. "The business case for continuing to invest in service and innovation can be compromised by an economic downturn. McKean clearly lays out the case for weathering the economic storm by achieving a careful balance of investment in the areas that truly matter – and continually using data to reinforce the idea that business can be more science than art, after all." —Barbara Higgins, Vice-President, Worldwide Contact Centers, United Airlines "John McKean's work has served as practical guide for me and my teammates. I have seen countless examples of businesses managing their customers’ experience with a short term economic view. If the right principles are employed consistently, as John teaches us, we can create the right emotional experience that delivers growth and loyalty – as well as the improved operating leverage – that are needed in good times and in tough times. Consistency of values and experiences keeps companies from having to be reactionary and short sighted in a down economy. Thanks, John, for another practical lesson." —John Quinn, former Customer Service and Support Executive, Bank of America "In good times and bad, forecasting where business is headed is both art and science. As John McKean so eloquently states, marrying data driven analytics with consumer insight is critical for managing through tough economic cycles. This book is a must read for anyone intent on driving greater profitability and consistently out-behaving the competition." —Joni Newkirk, CEO, Integrated Insight, Inc., former SVP, Business Insight & Improvement, Walt Disney Parks & Resorts "John McKean continues his pursuit of the profitable customer through the turbulent world of boom and bust. His book provides valuable insights into how businesses survive and thrive in a volatile economic climate." —Trevor Dukes, Business Systems, WH Smith "The rise of customer power coupled with challenging economic conditions demand that organizations leverage the power of the Internet and related technologies to stay relevant to their customers. As John McKean points out in his compelling new book, successful firms have built a core competency in leveraging information technology not only to survive economic transitions but thrive in an ever-changing economy." —Erik Brynjolfsson, Professor, MIT Sloan School and co-author of Wired for Innovation: How Information Technology is Reshaping the Economy "It would be hard to name a more relevant or timely topic for sales and marketing today than that of how to cope with economic downturns and upturns, and this is exactly the subject John McKean has insightfully tackled head-on in Managing Customers Through Economic Cycles." —Don Peppers and Martha Rogers, Ph.D., Peppers & Rogers Group
