Sentences with phrase «volatility portfolio»

If you need a higher return than that, then you'll need to consider a higher volatility portfolio.

For the low - volatility index we measure performance and relative valuation by comparing the low - volatility portfolio with the cap - weighted stock market.

One prominent example of this is the construction of ranking - based, low volatility equity strategies where realized volatility is used to form low volatility portfolios.

On Feb. 21, for example, when bond yields jumped following the release of minutes from a Fed meeting, the PowerShares S&P 500 Low Volatility Portfolio ETF lost 0.8 per cent.

Winner of the 2015 Bernstein Fabozzi / Jacobs Levy Award for Outstanding Article: «A Study of Low - Volatility Portfolio Construction Methods»

His low - volatility portfolios consist of the 30 % of stocks with the lowest standard deviations of monthly total returns during the preceding 36 months, reformed monthly.

I'm sure you're probably thinking that the difference between a 14.85 % portfolio volatility and a 14.71 % volatility is negligible, especially considering that the higher volatility portfolio actually outperformed on a pre-dividend basis.

An analysis of volatility portfolio performance of common stock on the major US exchanges from 1968 to 2015 shows low volatility stocks deliver significantly higher excess returns.

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.

Low Valuation, High Momentum, High Quality, Small Size, and Low Volatility portfolios select the companies in the fi rst quintile when ranked from highest to lowest score based on each respective factor, and equal - weights them.

He also has been appointed co-portfolio manager on the Fidelity VIP Target Volatility Portfolio, five VIP FundsManager ® Portfolios (20 %, 50 %, 60 %, 70 %, and 85 %), as well as an institutional account.

PowerShares Canada has two ETFs its considers truly active, said Christopher Doll, assistant vice-president of product management: PowerShares Tactical Bond ETF (PTB / TSX) and PowerShares Low Volatility Portfolio ETF (PLV / TSX).

The PowerShares S&P 500 Low Volatility Portfolio ETF, for example, tracks an index that holds only the 100 steadiest stocks in the S&P 500, as measured by their volatility over the past 12 months.

Several studies [1][2] have shown that low volatility portfolios have exposure to rising interest rate risk.

Two good picks for a rising interest rate environment are iShares Edge MSCI Minimum Volatility USA ETF (USMV) and PowerShares Standard and & Poor's 500 index Low Volatility Portfolio (SPLV), according to Todd Rosenbluth, director of ETF and mutual fund research at CFRA, an independent New York research firm.

How far can a fund manager squeeze turnover while still maintaining an effective low - volatility portfolio?

SPMV is based on the S&P 500 Minimum Volatility Index, but offers some important differences relative to rivals such as the iShares Edge MSCI Min Vol USA ETF (NYSE: USMV) and the PowerShares S&P 500 Low Volatility Portfolio (NYSE: SPLV).

Look at the performance of growth and momentum — as represented by the Vanguard Growth ETF (VUG) and the iShares Edge MSCI USA Momentum Factor ETF (MTUM)-- relative to other popular factors, as represented by the Vanguard Value ETF (VTV), the PowerShares S&P 500 Low Volatility Portfolio (SPLV) and the Vanguard High Dividend Yield ETF (VYM) in the chart below.

Other funds to see notable outflows this week were the PowerShares S&P 500 Low Volatility Portfolio (SPLV), with redemptions of $ 594 million; the iShares U.S. Real Estate ETF (IYR), with redemptions of $ 331 million; the United States Oil Fund (USO), with redemptions of $ 214 million; and the iShares 7 - 10 Year Treasury Bond ETF (IEF), with redemptions of $ 150 million.

For example, Power Shares markets an S&P 500 Low Volatility Portfolio (SPLV) and an S&P 500 High Dividend Low Volatility Portfolio (SPHD).

«She should focus on building a low - volatility portfolio of 60 % equities and 40 % fixed - income securities that includes blue - chip stocks, exchange - traded funds (ETFs), mutual funds and real estate investment trusts.»

The PowerShares S&P 500 Low Volatility Portfolio ETF, another one of the largest funds in the category by assets, is down only 5.3 per cent.

The beta was 0.50, which basically tells me that I have a very boring low volatility portfolio.

Several studies [1][2] have shown that low volatility portfolios have exposure to rising interest rate risk.

A recent post from Barron's attempts to compare the performance of PowerShares S&P 500 ® Low Volatility Portfolio (ticker SPLV) to that of PowerShares S&P 500 ® High Beta Portfolio (SPHB).

That's why the PowerShares S&P 500 High Dividend Low Volatility Portfolio and its 3.7 % yield stick out in this category.

In fact, in recent years, there's been a surge of interest in low - volatility portfolios, prompting the launch of exchange - traded index funds such as iShares Edge MSCI Minimum Volatility USA ETF and PowerShares S&P 500 Low Volatility Portfolio, as well as mutual funds like Vanguard Global Minimum Volatility Fund.

Research found that low - volatility stock portfolios generated higher risk - adjusted returns than high - volatility portfolios.

Keep in mind that you don't necessarily need to have hedge fund - type products to have a low - volatility portfolio.

How to do it: swap stock funds or individual stocks for a low volatility ETF like PowerShares S&P 500 Low Volatility Portfolio (SPLV).

They observe that replacing a beta - one equity portfolio with a low - volatility portfolio reduces risk without decreasing the overall equity allocation: All the low - volatility portfolios» market betas are significantly below unity (about 0.7 for the US strategies and lower for the global developed and emerging markets).

The same challenges arise for heuristic low - volatility portfolio construction; we consider their impact below.

My intuition is that investing in low volatility portfolios should help in regards to diversification as well.

Indeed, have a look at the new PowerShares S&P 500 Low Volatility Portfolio (SPLV), which includes the 100 companies in the S&P 500 with the most moderate price swings over the previous 12 months.

The inverse portfolio whose stocks were weighted by 1 / σ (therefore, a low - volatility portfolio) had a Sharpe ratio of 0.47.

For example, over the 1964 — 2012 period, a portfolio whose stock weights were based on the standard deviation σ of monthly returns over five years (thus, a high - volatility portfolio) had a Sharpe ratio of 0.36.

JL: Among funds you have advocated in just the past few months are the WisdomTree Europe Hedged Equity ETF (HEDJ) which allows investors European equity exposure while hedging a declining euro as well as low volatility alternatives like Emerging Markets MSCI Minimum Volatility ETF (EEMV) and PowerShares S&P 500 Low Volatility Portfolio ETF (SPLV).

For example, a low volatility portfolio and its inverse, a high volatility portfolio, both outperform the market by roughly 2 % — as long as they are systematically rebalanced.2 It is not the weighting method but the rebalancing operation that creates most of smart beta's excess return.

Is this the best way to construct low volatility portfolios?

While low volatility funds, such as the PowerShares S&P 500 Low Volatility Portfolio (NYSE: SPLV), are among the most popular smart beta strategies,...

Rhea is the first to develop a project focused on hedging cryptocurrencies and maintaining a low volatility portfolio.