Sentences with phrase «volatility effect»

The success of the low volatility strategy prompts the question of whether the low volatility effect exists in other asset classes or sectors.

Stay tuned for two more posts on volatility — one on how volatility effects returns and another on a case study of a few well - known stocks!

A simple, direct explanation of the low volatility effect is that many investors willingly accept lottery - like risk in pursuit of better - than - average returns.

The low volatility effect in equities refers to the findings that stocks that previously exhibited lower realized volatility outperform those with higher volatility as well as the broad based market on a risk - adjusted basis.

Will this low volatility effect persist?

Since Facebook is much in the news, does the low volatility effect help explain the underperformance of IPOs?

The low volatility effect in equities refers to the findings that stocks that previously exhibited lower realized volatility outperform those with higher volatility as well as the broad based market on a risk - adjusted basis.

Abnormal Returns: In your paper you show the existence of a low volatility effect in every country studied.

It will also aid in reducing the recent disconnect between mid-continent and coastal oil prices, but that's not really a volatility effect.

In their July 2016 paper entitled «The Profitability of Low Volatility», David Blitz and Milan Vidojevic examine whether: (1) any of several models expose a conventional return - for - risk market beta effect for stocks; and, (2) the low - volatility effect is distinct from a low - beta effect.

These blog entries relate to volatility effects.

This blog extends the study of the low volatility effect to U.S. preferred stocks.

These blog entries relate to volatility effects.

Common Sense is Not Common True If you need more evidence, look at the chart below, taken from a paper titled The Volatility Effect: Lower Risk Without Lower Return.

We extend the low volatility analysis to U.S. preferred stocks to see if the low volatility effect is present in other asset classes.

Given the immense gains of this bull market, it may be timely to take some profits off the table, and to dampen our overall portfolio risk through exposure to the well - documented low - volatility effect.2 But, like most things that sound inviting, not all low - volatility portfolio strategies are equally attractive.

From the client's perspective, placing a tolerance range around tracking error facilitates monitoring aggregate asset class risk exposures and evaluating individual managers» performance.7 Unfortunately, however, it also promotes closet indexing.8 And, because cap - weighted indices favor the most popular stocks, closet indexing tends to sustain the low volatility effect.

Historical Record The low volatility effect has been known so long1 and studied so extensively that there is little danger it will be discredited as a statistical fluke or a by - product of incomplete or erroneous data.

Low volatility stocks tend to trade at a discount to the broad market and, of course, to high volatility stocks; the magnitude of the discount is highly variable, 2 but the low volatility effect has nonetheless been durable (see Table 1).

Explanation for the Volatility Effect: An Overview Based on the CAPM Assumptions by Biltz, Falkenstein and Vliet.

What this research also shows is that the low volatility effect is seen over full market cycles.

In their May 2013 paper entitled «Explanations for the Volatility Effect: An Overview Based on the CAPM Assumptions», David Blitz, Eric Falkenstein and Pim van Vliet organize research on potential explanations according to the following CAPM assumptions:

Standard and Poor's research article «The Low Volatility Effect: A Comprehensive Look» references empirical evidence illustrating that low volatility investing outperforms the broad market on a risk - adjusted basis over the long term.

In their July 2016 paper entitled «The Profitability of Low Volatility», David Blitz and Milan Vidojevic examine whether: (1) any of several models expose a conventional return - for - risk market beta effect for stocks; and, (2) the low - volatility effect is distinct from a low - beta effect.

Abnormal Returns: The low volatility effect has some profound implications for corporate finance as well.