Our analysis indicates the potential of a low
volatility factor strategy in reducing return volatility in U.S. preferred stocks.
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.
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
Important
factors that may affect the Company's business and operations and that may cause actual results to differ materially from those in the forward - looking statements include, but are not limited to, increased competition; the Company's ability to maintain, extend and expand its reputation and brand image; the Company's ability to differentiate its products from other brands; the consolidation of retail customers; the Company's ability to predict, identify and interpret changes in consumer preferences and demand; the Company's ability to drive revenue growth in its key product categories, increase its market share, or add products; an impairment of the carrying value of goodwill or other indefinite - lived intangible assets;
volatility in commodity, energy and other input costs; changes in the Company's management team or other key personnel; the Company's inability to realize the anticipated benefits from the Company's cost savings initiatives; changes in relationships with significant customers and suppliers; execution of the Company's international expansion
strategy; changes in laws and regulations; legal claims or other regulatory enforcement actions; product recalls or product liability claims; unanticipated business disruptions; failure to successfully integrate the Company; the Company's ability to complete or realize the benefits from potential and completed acquisitions, alliances, divestitures or joint ventures; economic and political conditions in the nations in which the Company operates; the
volatility of capital markets; increased pension, labor and people - related expenses;
volatility in the market value of all or a portion of the derivatives that the Company uses; exchange rate fluctuations; disruptions in information technology networks and systems; the Company's inability to protect intellectual property rights; impacts of natural events in the locations in which the Company or its customers, suppliers or regulators operate; the Company's indebtedness and ability to pay such indebtedness; the Company's dividend payments on its Series A Preferred Stock; tax law changes or interpretations; pricing actions; and other
factors.
Important
factors that may affect the Company's business and operations and that may cause actual results to differ materially from those in the forward - looking statements include, but are not limited to, operating in a highly competitive industry; changes in the retail landscape or the loss of key retail customers; the Company's ability to maintain, extend and expand its reputation and brand image; the impacts of the Company's international operations; the Company's ability to leverage its brand value; the Company's ability to predict, identify and interpret changes in consumer preferences and demand; the Company's ability to drive revenue growth in its key product categories, increase its market share, or add products; an impairment of the carrying value of goodwill or other indefinite - lived intangible assets;
volatility in commodity, energy and other input costs; changes in the Company's management team or other key personnel; the Company's ability to realize the anticipated benefits from its cost savings initiatives; changes in relationships with significant customers and suppliers; the execution of the Company's international expansion
strategy; tax law changes or interpretations; legal claims or other regulatory enforcement actions; product recalls or product liability claims; unanticipated business disruptions; the Company's ability to complete or realize the benefits from potential and completed acquisitions, alliances, divestitures or joint ventures; economic and political conditions in the United States and in various other nations in which we operate; the
volatility of capital markets; increased pension, labor and people - related expenses;
volatility in the market value of all or a portion of the derivatives we use; exchange rate fluctuations; risks associated with information technology and systems, including service interruptions, misappropriation of data or breaches of security; the Company's ability to protect intellectual property rights; impacts of natural events in the locations in which we or the Company's customers, suppliers or regulators operate; the Company's indebtedness and ability to pay such indebtedness; the Company's ownership structure; the impact of future sales of its common stock in the public markets; the Company's ability to continue to pay a regular dividend; changes in laws and regulations; restatements of the Company's consolidated financial statements; and other
factors.
Important
factors that may affect the Company's business and operations and that may cause actual results to differ materially from those in the forward - looking statements include, but are not limited to, increased competition; the Company's ability to maintain, extend and expand its reputation and brand image; the Company's ability to differentiate its products from other brands; the consolidation of retail customers; the Company's ability to predict, identify and interpret changes in consumer preferences and demand; the Company's ability to drive revenue growth in its key product categories, increase its market share or add products; an impairment of the carrying value of goodwill or other indefinite - lived intangible assets;
volatility in commodity, energy and other input costs; changes in the Company's management team or other key personnel; the Company's inability to realize the anticipated benefits from the Company's cost savings initiatives; changes in relationships with significant customers and suppliers; execution of the Company's international expansion
strategy; changes in laws and regulations; legal claims or other regulatory enforcement actions; product recalls or product liability claims; unanticipated business disruptions; failure to successfully integrate the business and operations of the Company in the expected time frame; the Company's ability to complete or realize the benefits from potential and completed acquisitions, alliances, divestitures or joint ventures; economic and political conditions in the nations in which the Company operates; the
volatility of capital markets; increased pension, labor and people - related expenses;
volatility in the market value of all or a portion of the derivatives that the Company uses; exchange rate fluctuations; risks associated with information technology and systems, including service interruptions, misappropriation of data or breaches of security; the Company's inability to protect intellectual property rights; impacts of natural events in the locations in which the Company or its customers, suppliers or regulators operate; the Company's indebtedness and ability to pay such indebtedness; tax law changes or interpretations; and other
factors.
Traders may find a
strategy that combines both
factors to be the most effective in reducing
volatility in their portfolios and generating gains.
To give you confidence in a long - term distribution
strategy, several
factors must be considered to solve for the «magic number» needed to support your lifestyle including: sequence of returns,
volatility, portfolio withdrawals, taxes, life expectancy, inflation, and more.
Examples of these risks, uncertainties and other
factors include, but are not limited to the impact of: adverse general economic and related factors, such as fluctuating or increasing levels of unemployment, underemployment and the volatility of fuel prices, declines in the securities and real estate markets, and perceptions of these conditions that decrease the level of disposable income of consumers or consumer confidence; adverse events impacting the security of travel, such as terrorist acts, armed conflict and threats thereof, acts of piracy, and other international events; the risks and increased costs associated with operating internationally; our expansion into and investments in new markets; breaches in data security or other disturbances to our information technology and other networks; the spread of epidemics and viral outbreaks; adverse incidents involving cruise ships; changes in fuel prices and / or other cruise operating costs; any impairment of our tradenames or goodwill; our hedging strategies; our inability to obtain adequate insurance coverage; our substantial indebtedness, including the ability to raise additional capital to fund our operations, and to generate the necessary amount of cash to service our existing debt; restrictions in the agreements governing our indebtedness that limit our flexibility in operating our business; the significant portion of our assets pledged as collateral under our existing debt agreements and the ability of our creditors to accelerate the repayment of our indebtedness; volatility and disruptions in the global credit and financial markets, which may adversely affect our ability to borrow and could increase our counterparty credit risks, including those under our credit facilities, derivatives, contingent obligations, insurance contracts and new ship progress payment guarantees; fluctuations in foreign currency exchange rates; overcapacity in key markets or globally; our inability to recruit or retain qualified personnel or the loss of key personnel; future changes relating to how external distribution channels sell and market our cruises; our reliance on third parties to provide hotel management services to certain ships and certain other services; delays in our shipbuilding program and ship repairs, maintenance and refurbishments; future increases in the price of, or major changes or reduction in, commercial airline services; seasonal variations in passenger fare rates and occupancy levels at different times of the year; our ability to keep pace with developments in technology; amendments to our collective bargaining agreements for crew members and other employee relation issues; the continued availability of attractive port destinations; pending or threatened litigation, investigations and enforcement actions; changes involving the tax and environmental regulatory regimes in which we operate; and other factors set forth under «Risk Factors» in our most recently filed Annual Report on Form 10 - K and subsequent filings by the Company with the Securities and Exchange Comm
factors include, but are not limited to the impact of: adverse general economic and related
factors, such as fluctuating or increasing levels of unemployment, underemployment and the volatility of fuel prices, declines in the securities and real estate markets, and perceptions of these conditions that decrease the level of disposable income of consumers or consumer confidence; adverse events impacting the security of travel, such as terrorist acts, armed conflict and threats thereof, acts of piracy, and other international events; the risks and increased costs associated with operating internationally; our expansion into and investments in new markets; breaches in data security or other disturbances to our information technology and other networks; the spread of epidemics and viral outbreaks; adverse incidents involving cruise ships; changes in fuel prices and / or other cruise operating costs; any impairment of our tradenames or goodwill; our hedging strategies; our inability to obtain adequate insurance coverage; our substantial indebtedness, including the ability to raise additional capital to fund our operations, and to generate the necessary amount of cash to service our existing debt; restrictions in the agreements governing our indebtedness that limit our flexibility in operating our business; the significant portion of our assets pledged as collateral under our existing debt agreements and the ability of our creditors to accelerate the repayment of our indebtedness; volatility and disruptions in the global credit and financial markets, which may adversely affect our ability to borrow and could increase our counterparty credit risks, including those under our credit facilities, derivatives, contingent obligations, insurance contracts and new ship progress payment guarantees; fluctuations in foreign currency exchange rates; overcapacity in key markets or globally; our inability to recruit or retain qualified personnel or the loss of key personnel; future changes relating to how external distribution channels sell and market our cruises; our reliance on third parties to provide hotel management services to certain ships and certain other services; delays in our shipbuilding program and ship repairs, maintenance and refurbishments; future increases in the price of, or major changes or reduction in, commercial airline services; seasonal variations in passenger fare rates and occupancy levels at different times of the year; our ability to keep pace with developments in technology; amendments to our collective bargaining agreements for crew members and other employee relation issues; the continued availability of attractive port destinations; pending or threatened litigation, investigations and enforcement actions; changes involving the tax and environmental regulatory regimes in which we operate; and other factors set forth under «Risk Factors» in our most recently filed Annual Report on Form 10 - K and subsequent filings by the Company with the Securities and Exchange Comm
factors, such as fluctuating or increasing levels of unemployment, underemployment and the
volatility of fuel prices, declines in the securities and real estate markets, and perceptions of these conditions that decrease the level of disposable income of consumers or consumer confidence; adverse events impacting the security of travel, such as terrorist acts, armed conflict and threats thereof, acts of piracy, and other international events; the risks and increased costs associated with operating internationally; our expansion into and investments in new markets; breaches in data security or other disturbances to our information technology and other networks; the spread of epidemics and viral outbreaks; adverse incidents involving cruise ships; changes in fuel prices and / or other cruise operating costs; any impairment of our tradenames or goodwill; our hedging
strategies; our inability to obtain adequate insurance coverage; our substantial indebtedness, including the ability to raise additional capital to fund our operations, and to generate the necessary amount of cash to service our existing debt; restrictions in the agreements governing our indebtedness that limit our flexibility in operating our business; the significant portion of our assets pledged as collateral under our existing debt agreements and the ability of our creditors to accelerate the repayment of our indebtedness;
volatility and disruptions in the global credit and financial markets, which may adversely affect our ability to borrow and could increase our counterparty credit risks, including those under our credit facilities, derivatives, contingent obligations, insurance contracts and new ship progress payment guarantees; fluctuations in foreign currency exchange rates; overcapacity in key markets or globally; our inability to recruit or retain qualified personnel or the loss of key personnel; future changes relating to how external distribution channels sell and market our cruises; our reliance on third parties to provide hotel management services to certain ships and certain other services; delays in our shipbuilding program and ship repairs, maintenance and refurbishments; future increases in the price of, or major changes or reduction in, commercial airline services; seasonal variations in passenger fare rates and occupancy levels at different times of the year; our ability to keep pace with developments in technology; amendments to our collective bargaining agreements for crew members and other employee relation issues; the continued availability of attractive port destinations; pending or threatened litigation, investigations and enforcement actions; changes involving the tax and environmental regulatory regimes in which we operate; and other
factors set forth under «Risk Factors» in our most recently filed Annual Report on Form 10 - K and subsequent filings by the Company with the Securities and Exchange Comm
factors set forth under «Risk
Factors» in our most recently filed Annual Report on Form 10 - K and subsequent filings by the Company with the Securities and Exchange Comm
Factors» in our most recently filed Annual Report on Form 10 - K and subsequent filings by the Company with the Securities and Exchange Commission.
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).
Equity smart beta
strategies like momentum, value, quality and minimum
volatility are by far the most adopted
factor strategies and often serve as the gateway to this type of investing.
Investors may also want to consider limiting or diversifying their exposure to certain macro
factors, such as changes in economic activity and oil prices, by pursuing minimum
volatility and multifactor
strategies.
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.
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 prefer
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 prefer
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 prefer
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 prefer
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 prefer
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.
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.
There's no clear answer to this as the time frame for price action analysis depends on many
factors including the market
volatility, your
strategy type, your price reading skills, and your trading personality (patience).
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.)
At 100 % gross exposure to each
strategy, we compute the excess returns,
volatilities, and Sharpe ratios of the three
factors:
In times of market
volatility spikes, quality
factor strategies have historically behaved defensively, which may provide opportunities for strong outperformance,» says Fiona Bassett, Global Co-Head of Passive Asset Management.
Factor - based
strategies, use scientific, rules - based technology to focus on specific drivers of return such as momentum, value, quality, size and lower
volatility.
The MSCI World
Factor Mix A-Series Index captures large - and mid-cap representation across 23 developed countries and aims to represent the performance of value, low volatility, and quality factor strat
Factor Mix A-Series Index captures large - and mid-cap representation across 23 developed countries and aims to represent the performance of value, low
volatility, and quality
factor strat
factor strategies.
Key portfolio characteristics include a «through retirement» glide path designed to account for an investor's full life expectancy, a managed
volatility approach, as well as portfolios combining active
strategies plus
factor - based and market - cap - weighted exchange - traded funds (ETFs).
Like our findings regarding the low beta
factor, we project that the low beta and low -
volatility strategies will underperform their respective benchmarks across all regions.
It's important to note that «RAFI Size
Factor» is not the same as the RAFI 1500 for small companies, but rather is a blend of four factor - tilt strategies, each formed within the universe of small - cap stocks: small value, small momentum, small low volatility, and small quality (a factor that combines profitability and investment met
Factor» is not the same as the RAFI 1500 for small companies, but rather is a blend of four
factor - tilt strategies, each formed within the universe of small - cap stocks: small value, small momentum, small low volatility, and small quality (a factor that combines profitability and investment met
factor - tilt
strategies, each formed within the universe of small - cap stocks: small value, small momentum, small low
volatility, and small quality (a
factor that combines profitability and investment met
factor that combines profitability and investment metrics).
Our stylized portfolios that blend six
factors (
volatility, value, quality, size, momentum, and dividend yield) with four different
strategies (marginal risk contribution, minimum variance, Sharpe - ratio weighted, and equity weighted) demonstrated higher risk - adjusted returns than the S&P 500 ®, with a lower tracking error than most single -
factor strategies (see Exhibit 1).
Furthermore, that
strategy will need to focus on two key
factors, liquidity and
volatility.
All was not lost, however; certain
factor - based
strategies thrived in the
volatility.
Factor investing is a
strategy for constructing portfolios based on macroeconomic
factors (such as credit, inflation, and liquidity) and style
factors (cap - size, balance - sheet strength, value, momentum, and
volatility) to improve returns while constraining risks.
«Equity risk remains the dominant risk
factor within an investor's asset allocation, driving both corporate and public pension plans to continue their focus on reducing funding
volatility by adjusting their asset allocation into
strategies that are traditionally uncorrelated to equity corrections and drawdowns,» says Chris Adair, Senior Managing Director, Ryan Labs.
There are
strategies targeting single risk -
factor exposure (e.g., value, low
volatility, momentum, quality, or size), those employing alternative weighting methods (e.g., fundamental, dividend, or equal weight) and a smaller, but expanding, set of multifactor
strategies coming to market.
For
factor - based
strategies that can be implemented efficiently — notably the value and low -
volatility strategies — lower - fee indexing seems more advantageous.