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Surprising results of lower volatility equities in emerging markets

Pim van Vliet, PhD Emerging markets have become increasingly important to equity investors due to their fast growing economies. But what is the relationship between risk and return in these markets? Answer: it is flat or even negative. Empirical results show that the volatility effect - long-term equity returns at distinctly lower downside risk - is significant, robust and distinct.

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Author

David Blitz, PhD
Head Quantitative Equities Research


Author

Pim van Vliet, PhD
Senior Portfolio Manager