Sentences with phrase «low vol»

So what does it mean for the future performance of low vol strategies?

The construction and rebalancing of low vol portfolios plays a role in their performance.

Low vol stocks are typically anchored by value attributes such as price - to - earnings growth, high book - to - market value, low leverage, and high dividend yield.

Over the last 24 hours, the volume reading is at Low Vol.

Large capitalization stocks are more likely to be low vol whereas small capitalization growth stocks thrive on high volatility and high beta.

Therefore, size (large cap) and profitability (value / quality) can help explain the performance of the defensive low vol strategy.

While it would be easy to dismiss low vol on the grounds of tracking error, the decision need not be binary.

April 10, 2015 FTSE and Research Affiliates Celebrate One Year Anniversary of FTSE RAFI Low Vol Index Series

This recent outperformance was the catalyst for sizable inflows into the two largest low vol ETFs: the PowerShares S&P 500 Low Volatility ETF ($ SPLV) and the iShares MSCI USA Minimum Volatility Index ETF ($ USMV).

How much excess return are investors getting for remaining parked in low vol stocks when the prices of other stocks are spiking up?

In other words, my findings suggest that despite low vol investing strategies» increased popularity in recent years, investors should be cautious.

The short vol trade didn't just depend on low vol, it depended on an upward - sloping term structure of volatility.

The key takeaway is that tracking error increases proportionally as low vol allocation is increased.

EQUITIES THEMATIC — SAME AS IT EVER WAS: Small Cap / High Beta / Cyclicals / Value / High Short Interest / Inflation / Domestic Exposure / Weak Balance Sheet over Low Vol / Defensives / Anti-Beta / Growth / Quality / Strong Balance Sheet.

Ram Big Horn with Low Vol Black Clear Coat exterior and Diesel Gray / Black interior features a 8 Cylinder Engine with 410 HP at 5600 RPM *.

@valuewalk long - dated yen currency puts have fairly low vol Not doing that either, but... someone will.

I find that low vol cross-listed firms have lower return than high vol firms.

In the meantime the financial media has gone into nuts over the recent underperformance of low vol strategies after an extended period of outperformance.

For short lookback (30days) low vol index was the best performer For long lookback (250days) high vol index was the best performer

Thus, low vol ETFs are over-weighted in large - cap stocks and under - weighted in small - cap stocks.

Low beta or low volatility strategies have lower absolute risk than the market, but typically come at the cost of higher relative risk and low vol strategies tend to have higher tracking error, which represents the risk that the strategy deviates from the market for extended periods of time.

In my next two posts, I'll walk through the evidence that Low Vol investing is a re-packaged Value strategy, and why investors might want to reconsider investments in Low Volatility ETFs like USMV and SPLV.

Viewing some volume levels, we see that volume over the last 24 hours clocks in at Low Vol.

The research on low vol is pretty convincing.

Here's my lead paragraph, which makes clear I saw the low vol

The leader of the low vol / dividend ETF pack is the PowerShares S&P 500 High Dividend Low...

In my opinion you mange risk at order entry and as a premium seller, I absolutely am aware that volatility could explode, which is typically why I don't put nearly as many positions on in a low vol market.

Banner, et al. go to discuss the importance of lowering volatility on portfolios and why the low vol anomaly should persist over time.

We are no strangers to the low vol anomaly here at Abnormal Returns.

One important point they make is that the low vol anomaly is more than the idea that stocks with low volatility outperform stocks with high volatility.

As of last Friday, the tide has shifted in favor of low vol.

Why a low vol strategy works: investors are drawn to stocks that catch their attention.

I rank stocks by their n day standard deviation and create a low vol stock index and a high vol index, my summarised results are below.

Space is limited, so we only display our findings for three factors (momentum, small cap, and low beta shown in Figure 2, Panel A) and three smart beta strategies (Fundamental Index ™, low vol index, and dividend index in Figure 2, Panel B).7

Cinthia Murphy's article shows us where its going To give you the quick and dirty on it, most of it is going to low vol, but not as much as what was going to it earlier in the year... maybe that low vol bubble is bursting???

By dollar value, a low vol portfolio delivers a 20 times higher return than a high vol portfolio over nearly five decades.

Given the coverage you would think that the outperformance of low vol was a one - time thing has been played out.

First a reading of history would show that low vol strategies can underperform, like any other strategy, for periods of time.

I know things work until they don't, but the «smart beta» S&P 500 ETF that chooses stocks within the index seem doing better than S&P 500 on backtesting (equalweight, low vol, dividend aristocrat).

Indeed one of the biggest arguments against trying to implement a low vol strategy is that it can dramatically underperform the broad market for extended periods of time.

Second you would have to think that a few billion of inflows into some ETFs would somehow offset the behavioral and structural effects underlying the low vol anomaly.

There is a big mismatch between the time frame of the coverage and the underlying dynamics of the low vol effect.

Investors who think they can time the low vol effect, or any other effect, are acting as de facto market timers, not long - term investors seeking to exploit a market anomaly.

The bottom line is that we would not be seeing this coverage were it not for the existence of these low vol ETFs.

Low volatility Low volatility — or «low vol» — investing means buying shares (or bonds) that tend to go up or down in price by less than the overall market (in other words, they're less volatile).

The Short VIX strategy has a much higher level of absolute risk: an equal combination of Low Vol and Short VIX will be dominated by the latter.

Low Volatility equity strategies have generated their long - term outperformance in part by mitigating losses in down markets; the price of this loss mitigation is that low vol strategies underperformed in rising markets.