Sentences with phrase «low volatility factor»

The S&P 500 Low Volatility Index selects the 100 least - volatile members of the S&P 500 index; lacking any sector constraints, the index seeks to provide pure exposure to the low volatility factor.

Exhibit 1 also includes performance statistics for the quintile portfolios formed by ranking the low volatility factor within each duration and rating grouping.

Contrary to the credit spread factor, we observed a non-linear relationship between risk and return for the low volatility factor.

Seeks to deliver exposure to the low volatility factor, balance risk across sectors, and seek neutral to positive exposure to value, momentum, and quality

The low volatility factor also outperforms on a risk - adjusted return basis.

The low volatility factor has been shown to be a driver of returns when coupled with other factors.

To construct a low volatility factor portfolio, it is common to select securities that had low realized volatility over a pre-specified period and hold the portfolio for the subsequent n months.

This lends support to arguments for using realized volatility to construct a low volatility factor portfolio for preferred stocks.

Four of these factor strategies — RAFI Value Factor Index, RAFI Low Volatility Factor Index, RAFI Quality Factor Index, and RAFI Size Factor Index — and fundamental indices will also be available in a variety of geographic categories, providing investors a wide range of choices to meet their unique preferences.

Our analysis indicates the potential of a low volatility factor strategy in reducing return volatility in U.S. preferred stocks.

The interest rate - sensitivity of the Low Volatility factor has increased in recent years Mainly due to the sectoral biases from the long portfolio Sector - neutrality reduces the interest rate - sensitivity, albeit at the cost of performance INTRODUCTION Low Volatility strategies have become popular

Within each group, bonds were selected by credit spread and low volatility factors; bonds with Libor OAS wider than the median level of the group were ranked by yield volatility, and only the 20 % of those ranked bonds with the lowest volatility were then selected.

These findings confirm that credit spread and low volatility factors can effectively explain portfolio return and volatility and present the necessity of applying factors while taking duration and quality into consideration.

Not exact matches

The selling has continued this week, worsened by technical factors including the implosion of trading strategies that had bet on low volatility.

Actual results, including with respect to our targets and prospects, could differ materially due to a number of factors, including the risk that we may not obtain sufficient orders to achieve our targeted revenues; price competition in key markets; the risk that we or our channel partners are not able to develop and expand customer bases and accurately anticipate demand from end customers, which can result in increased inventory and reduced orders as we experience wide fluctuations in supply and demand; the risk that our commercial Lighting Products results will continue to suffer if new issues arise regarding issues related to product quality for this business; the risk that we may experience production difficulties that preclude us from shipping sufficient quantities to meet customer orders or that result in higher production costs and lower margins; our ability to lower costs; the risk that our results will suffer if we are unable to balance fluctuations in customer demand and capacity, including bringing on additional capacity on a timely basis to meet customer demand; the risk that longer manufacturing lead times may cause customers to fulfill their orders with a competitor's products instead; the risk that the economic and political uncertainty caused by the proposed tariffs by the United States on Chinese goods, and any corresponding Chinese tariffs in response, may negatively impact demand for our products; product mix; risks associated with the ramp - up of production of our new products, and our entry into new business channels different from those in which we have historically operated; the risk that customers do not maintain their favorable perception of our brand and products, resulting in lower demand for our products; the risk that our products fail to perform or fail to meet customer requirements or expectations, resulting in significant additional costs, including costs associated with warranty returns or the potential recall of our products; ongoing uncertainty in global economic conditions, infrastructure development or customer demand that could negatively affect product demand, collectability of receivables and other related matters as consumers and businesses may defer purchases or payments, or default on payments; risks resulting from the concentration of our business among few customers, including the risk that customers may reduce or cancel orders or fail to honor purchase commitments; the risk that we are not able to enter into acceptable contractual arrangements with the significant customers of the acquired Infineon RF Power business or otherwise not fully realize anticipated benefits of the transaction; the risk that retail customers may alter promotional pricing, increase promotion of a competitor's products over our products or reduce their inventory levels, all of which could negatively affect product demand; the risk that our investments may experience periods of significant stock price volatility causing us to recognize fair value losses on our investment; the risk posed by managing an increasingly complex supply chain that has the ability to supply a sufficient quantity of raw materials, subsystems and finished products with the required specifications and quality; the risk we may be required to record a significant charge to earnings if our goodwill or amortizable assets become impaired; risks relating to confidential information theft or misuse, including through cyber-attacks or cyber intrusion; our ability to complete development and commercialization of products under development, such as our pipeline of Wolfspeed products, improved LED chips, LED components, and LED lighting products risks related to our multi-year warranty periods for LED lighting products; risks associated with acquisitions, divestitures, joint ventures or investments generally; the rapid development of new technology and competing products that may impair demand or render our products obsolete; the potential lack of customer acceptance for our products; risks associated with ongoing litigation; and other factors discussed in our filings with the Securities and Exchange Commission (SEC), including our report on Form 10 - K for the fiscal year ended June 25, 2017, and subsequent reports filed with the SEC.

And for taxable accounts with balances over $ 500,000, the robo - advisor offers «advanced indexing,» where it weights the stocks in a portfolio based on various factors, including low volatility and high dividend yield, to further power potential returns, all for the same advisory fee that applies to all accounts.

One issuer's international multi-factor products may use the low volatility, quality and size factors while...

Quality has long been established as an investment approach, dating back to Benjamin Graham, but it is less well accepted as a factor, especially when compared with value, size, yield, momentum and low volatility.

None of the factors consistently generated positive performance during recent market crashes However, almost any factor exposure would have increased the risk - return ratio of an equity - centric portfolio Low Volatility and Mean - Reversion would have been most beneficial, Momentum least INTRODUCTION A

Does the Fama - French five - factor model of stock returns (employing market, size, book - to - market, investment and profitability factors) explain the outperformance of low - volatility stocks.

Correlations between Quality and Growth factors are currently elevated Value is more negatively correlated than usual to Quality, Growth and Low Volatility Monitoring correlations is important for maximising diversification benefits INTRODUCTION The rise of ETFs is often associated with higher stock

2018 started negative for the majority of factors Momentum, Quality and Growth showed the strongest performance Low Volatility, Dividend Yield and Value generated negative returns INTRODUCTION We present the performance of seven well - known factors on an annual basis for the last 10 years and the

SUMMARY Some factors show structural sector exposure while others rotate sectors frequently Sector concentrations explain factor performance and may represent concentration risks Value is currently long Financials, Low Volatility is short Health Care, and Growth is short Energy INTRODUCTION Despite

Equity factors can be valued using fundamental metrics Value and Size are cheap while Low Volatility and Growth are expensive Likely more meaningful for medium - to long - term than short - term investors INTRODUCTION The term «Factor Investing» reached an all - time high this year according to Google

With the French election ending in the defeat of Le Pen, one more risk factor has been removed from the table and low volatility has returned.

Filed under: ETFs, Growth Investing Tags: etf, factor, low volatility, momentum, position size, quality

Yet, various factors contributed to the low levels of volatility seen in 2017.

The O'Shares FTSE Russell Small Cap Quality Dividend ETF tracks an index of US small - cap stocks weighted for exposure to quality, low volatility, and high yield factors.

Emerging markets involve heightened risks related to the same factors as well as increased volatility and lower trading volume.

Futures prices generally move somewhat in response to changes in the spot price, even when movements in the latter are driven by transitory factors, but their substantially lower volatility suggests that they are more anchored to longer - run price fundamentals than are spot prices.

Q: In spite of different risk factors, equity - market volatility remains near historic lows.

Does Adding Momentum and Volatility Improve Performance», Mohammed Elgammal, Fatma Ahmed, David McMillan and Ali Al - Amari examine whether adding momentum and low - volatility factors enhances the Fama - French 5 - factor (market, size, book - to - market, profitability, investment) model of stocVolatility Improve Performance», Mohammed Elgammal, Fatma Ahmed, David McMillan and Ali Al - Amari examine whether adding momentum and low - volatility factors enhances the Fama - French 5 - factor (market, size, book - to - market, profitability, investment) model of stocvolatility factors enhances the Fama - French 5 - factor (market, size, book - to - market, profitability, investment) model of stock returns.

Their analysis involves (1) estimating the factor characteristics of each stock in a broad index; (2) aggregating the characteristics across all stocks in the index; and (3) matching aggregated characteristics to a mimicking portfolio of five indexes representing value, size, quality, momentum and low volatility styles, adjusted for estimated expense ratios.

Many investors have become familiar with the notion of capturing historically rewarded factors, such as value, quality, or low volatility, in their stock portfolios.

One of the great anomalies of investing: The historical long - term outperformance of certain smart beta or factor - based strategies relative to the broader equity market (think choosing stocks based on their valuations, momentum, low volatility or quality metrics such as profitability).

In December 2015, S&P BSE launched four smart beta indices based on four factors — momentum, value, low volatility, and quality.

Similarly, the S&P BSE Quality Index had relatively lower return volatility and the smallest drawdown among the four factors, highlighting the defensive characteristics of the quality factor.

In contrast, the S&P BSE Low Volatility Index was the laggard among the factors in the up - trending market, but it was the best - performing factor when the market was down.

The report highlights that, historically, the best - performing factor in up markets has been value, whereas in down markets, low volatility and quality have performed well.

The most popular factors are value, size, momentum, low - volatility, quality and high yield while not all of them are really working well.

Since delta includes volatility as a factor (in d1), regardless of whether volatility is high or low as long as the price change has a proportionate effect on the expected value then delta may not be jumping around as much as you think.

The index captures large - and mid-cap representation across 22 developed market Europe, Australasia, and Far East countries and aims to represent the performance of value, low volatility, and quality factor strategies.

But there are other options as well, investors today have options of actively managed funds, currency - hedged funds, low volatility funds, dividend funds and even factor based emerging market funds.

Looking beyond the story telling that characterizes various investment philosophies, the long - term return drivers of many complex smart beta strategies are tilts toward well - known factor / style exposures, such as value, size, and low volatility.

Quality and Value best represent economically driven fundamentals, so we believe they should be given greater emphasis, while Momentum and Low Volatility should have less emphasis in factor allocations.

The manager believes that a focus on all three factors — value, momentum, and tactical hedging, produces a portfolio of companies that offer strong characteristics, with the potential added benefit of lower volatility and protecting against market downturns.

To the roster of smart beta strategies, at the request of some of the readers of the first article, we add a dividend - weighted strategy and a fundamentals - weighted low volatility strategy; both of these strategies command many billions in AUM.6 (Click here for a full description of the simulation methodology used for factors and smart betas.)

In all regions, the duration factor reveals positive exposure to interest rate risk; investors seeking income and safety may see stocks with high dividend yields and low volatility as an attractive alternative to fixed - income securities in a low - rate environment.

Tilting toward the size factor by investing in small cap stocks can provide diversification away from large caps, but often comes with higher portfolio volatility, potentially lower liquidity, and higher transaction costs.

Each factor criteria is established at the top 30 % of book - to - market (value), highest past 12 - 1 month return (momentum), past - 36 month total - volatility (low volatility) among approximately 800 large liquid stocks to avoid the liquidity issues associated with looking at a basket of liquid small and micro-caps.