Sentences with phrase «volatility factor»

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

We expect continued uncertainty to make volatility a factor through 2018.

This demonstrates that applying the low volatility factor without taking duration and quality into consideration is not consistent in explaining portfolio return and risk.

Traditional markets and their respective investors often try to avoid volatility as a high volatility factor will often damage profits and the security of funds.

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

FTXO tracks the Nasdaq U.S. Smart Banks Index, which employs growth, value, and volatility factors in its weighting scheme.

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.

Since low volatility factor portfolios typically select securities using volatility rank, we also calculated the correlation of volatility ranks based on these two sets of realized volatility.

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 stock returns.

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

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

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

Volatility is represented by the Russell 1000 Volatility Factor Index, which tracks the performance of stocks displaying lower volatility characteristics.

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.

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

We could, for example, use option positions to gain long exposure to the volatility factor or potentially create asymmetric outcomes.

The goal of the S&P U.S. High Yield Low Volatility Corporate Bond Index is to construct a high - yield bond portfolio with low credit risk and low return volatility by applying a low volatility factor.

To study the efficacy of the volatility factor in the preferred market, we divided the index universe into quartiles by preferred stocks» realized volatility over the past year (for empirical evidence on why realized volatility was used, please refer to «Can Realized Volatility Predict Future Volatility for Preferred Securities?»).

His interests in data science include automation, GBM and LSTM NN machine learning for return predictability, genetic programming for optimization, momentum and volatility factors.

Rates, volatility and a broad market rally have contributed to the factor's late - summer slump Late summer has not been fruitful for the low volatility factor.

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.

Utilizing a volatility factor is a key step in the index component selection process.

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

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.

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

These modified quintile portfolios displayed a generally positive relationship between the low volatility factor, return, and return volatility, as expected.

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.

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

Volatility has been found as one of the main reasons why retail investors will not invest in the space, which means a lower volatility factor will entice more retail investors to dip their feet into the cryptocurrency market.

Decoupling with Bitcoin would just strengthen positive speculations as it would effectively remove the volatility factor from this currency's property.

Quoine Pay claims to have eliminated the volatility factor.