Download or read book The Low Volatility Effect written by Anna Maria Di Giorgio and published by . This book was released on 2016 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Low Volatility Effect on Stock Market Returns a Market Anomaly Or a Risk Factor written by Laura Godler Čoh and published by . This book was released on 2016 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book All About Low Volatility Investing written by Peter Sander and published by McGraw Hill Professional. This book was released on 2013-12-13 with total page 289 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 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 Explaining the Low Volatility Effect in the US Stock Market written by Fabio Proietto and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: With the focus on the US stock market over the period January 1987-December 2016, this paper investigated whether the Low Volatility Effect is truly anomalous or is rather a repackaging of the well-known asset pricing factors. The key findings indicate that the Low Volatility Effect is not as anomalous as claimed but can be rather explained by taking into consideration size, profitability and relative valuation. Ironically, it also emerged that the majority of the widely-sought Low Volatility Premium is actually generated by betting against high volatility rather than merely embracing stability.
Download or read book The Volatility Effect written by David Blitz and published by . This book was released on 2013 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect cannot be explained by other well-known effects such as value and size. Our results indicate that equity investors overpay for risky stocks. Possible explanations for this phenomenon include (i) leverage restrictions, (ii) inefficient two-step investment processes, and (iii) behavioral biases of private investors. In order to exploit the volatility effect in practice we argue that investors should include low risk stocks as a separate asset class in the strategic asset allocation phase of their investment process.
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 The Value of Low Volatility written by David Blitz and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The evidence for the existence of a distinct low-volatility effect is mounting. However, implicit exposures to the Fama-French value factor (HML) seem to explain the performance of straightforward U.S. low-volatility strategies since 1963. In this paper I show that the value effect can neither explain the performance of large-cap low-volatility strategies pre-1963, nor post 1984, when the Fama-French value factor itself ceased to be effective in the large-cap segment of the market. Moreover, the performance of small-cap low-volatility strategies cannot be explained by the value effect during any period. Fama-MacBeth regressions support the existence of a low-volatility effect for every subsample. Based on these results and various other arguments I conclude that there exists a distinct low-volatility effect which cannot be explained by the value effect. The combined evidence even appears to be stronger for the low-volatility effect than for the value effect.
Download or read book The Volatility Effect written by Mayank Joshipura and published by . This book was released on 2020 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: We offer empirical evidence that stocks with low volatility earn higher risk-adjusted returns compared to high volatility stocks in the Indian stock market. The annualised excess returns for the low and high volatility decile portfolios amount to 11.40% and 1.30%, respectively, over the period January 2001 to June 2015. The difference of returns is statistically and economically significant for both low and high-risk stocks. Using risk measures of standard deviation and beta, the volatility effect remains after controlling for size, value and momentum. We uncover that the volatility effect is not statistically significant after controlling for beta effect. Our evidence for volatility effect is not dominated by small and illiquid stocks. Our results show that the low volatility portfolio outperforms benchmark portfolio not only in down market but also in up market conditions.
Download or read book Country and Sector Drive Low Volatility Investing in Global Equity Markets written by Sanne De Boer and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Low-risk stocks have historically outperformed high-risk stocks, delivering better long-term returns with less volatility. This counter-intuitive effect has persisted since 1926, violating one of the basic tenets of Finance Theory. We investigate the role of country and sector effects in low-volatility investing in global equities and find that this strategy has a pronounced “anti-bubble” behavior. As a result, most of the benefit of the low-volatility anomaly can be earned through country and sector selection in lieu of individual stock selection. Additionally, we see that this approach mitigates many of the implementation pitfalls associated with the minimum-volatility stock portfolio. We conclude that sector and country selection is a more practical approach to individual stock selection for capturing the benefits of low-volatility investing in global equities.
Download or read book The Low Volatility Anomaly in Australian Stock Returns written by Joshua Bay and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper demonstrates that the low volatility anomaly exists in Australian stock returns. Consistent with previous literature on other countries, low realized volatility stocks earn superior risk-adjusted returns than high realized volatility stocks. Our key findings show value-weighted portfolios formed from ASX 300 and ASX All Ords stocks trading the low volatility anomaly have statistically significant annual returns. Not only is this anomaly highly persistent against size, value and momentum factors, but its effect seems to be accentuated in stocks that have larger market capitalization, lower book-to-market ratio and are past winner stocks. Finally, our findings show that the low volatility effect is statistically significant for portfolio holding periods up to 12 months in larger capitalization stocks and robust against a sub-period analysis.
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 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 The Volatility Effect Lower Risk Without Lower Return written by and published by . This book was released on 2007 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk and Return in Asian Emerging Markets written by N. Cakici and published by Springer. This book was released on 2014-08-13 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Download or read book Volatility Trading website written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2008-06-23 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.
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.
