Sentences with phrase «volatility portfolio construction»

2015 Bernstein Fabozzi / Jacobs Levy Outstanding Article Award for «A Study of Low - Volatility Portfolio Construction Methods» in the Journal of Portfolio Management 2013 Bernstein Fabozzi / Jacobs Levy Outstanding Article Award for «The Surprising Alpha from Malkiel's Monkey and Upside - Down Strategies» in the Journal of Portfolio Management 2013 William F. Sharpe Award - ETF / Indexing Paper of the Year for «A Framework for Examining Asset Allocation Alpha» in the Journal of Index Investing 2011 CFA Institute Graham and Dodd Scroll Award for «A Survey of Alternative Equity Index Strategies» 2011 Financial Analyst Journal Readers» Choice Award for «A Survey of Alternative Equity Index Strategies» 2009 Outstanding Service to UCLA Anderson School of Management 2008 Institutional Investor 20 Rising Stars of Hedge Fund Award 2005 William F. Sharpe Award - Best Index Research for «Fundamental Indexation»

Winner of the 2015 Bernstein Fabozzi / Jacobs Levy Award for Outstanding Article: «A Study of Low - Volatility Portfolio Construction Methods»

The same challenges arise for heuristic low - volatility portfolio construction; we consider their impact below.

Not exact matches

For the rest, a better approach may be seeking more modest returns with lower volatility, via a focus on portfolio construction, risk exposures and less traditional asset classes.

For the rest, a better approach may be seeking more modest returns with lower volatility, via a focus on portfolio construction, risk exposures and less traditional asset classes.

Properly assessing your risk tolerance will allow construction of an investment portfolio with characteristics commensurate with your goals and atttitude toward price volatility.

As a form of risk control, the portfolio construction process is designed to penalize high volatility in stocks and avoid excessive concentration in single sectors of the market.

Nonetheless, constraining the portfolio construction process resulted in higher volatility and tended to make the characteristics of the minimum - variance portfolios and the cap - weighted benchmarks more closely resemble one another.

In the construction of the S&P U.S. High Yield Low Volatility Corporate Bond Index, an individual bond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equation 1).

The normal candidates are then allocated based upon their relative attractiveness, which leads to the construction of a portfolio seeking positive returns, while minimizing volatility and drawdown, BCM notes.