Exhibit 1 also includes performance statistics for the quintile portfolios formed by ranking the low
volatility factor within each duration and rating grouping.
Not exact matches
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.
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).
To form the quintile portfolios, we first ranked bonds
within the investable sub-universe by each
factor (credit spread and low
volatility) and divided the universe into five groups, with higher values ranking higher (Quintile 1) for credit spread and lower values ranking higher (Quintile 1) for low
volatility.
We can see how these
factors all tie together in their mathematical application
within an investor's portfolio: compounding, avoiding large losses, and now
volatility.
Instead, it is a guideline for selecting the stocks
within the ETF to ensure consideration of applicable
factor; value, momentum, size, quality,
volatility, and yield.
«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.
Hartford Multifactor Low
Volatility International Equity Index (LLVINX or the «Index») seeks to address risks and opportunities within developed (excluding the US) and emerging market stocks by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality and siz
Volatility International Equity Index (LLVINX or the «Index») seeks to address risks and opportunities
within developed (excluding the US) and emerging market stocks by selecting equity securities exhibiting low
volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality and siz
volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality and size
factors.