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Low volatility strategies

Low volatility investment strategies exploit the low volatility anomaly.

A generic low volatility strategy selects stocks based on the volatility of past returns.

From an investor’s point of view, such a quantitative strategy offers higher risk-adjusted returns as measured by the Sharpe Ratio.

This ratio indicates the extent to which investors are rewarded for the (absolute) risk they take.

In other words, how much return they receive per unit of risk they take.

Quantitative investing: invisible layers surface to deliver attractive returns
Quantitative investing: invisible layers surface to deliver attractive returns
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Factoring carbon taxes into a Value strategy
Factoring carbon taxes into a Value strategy
Incorporating carbon taxes into a Value strategy at a stock level is equivalent to imposing carbon footprint constraints on the overall portfolio.
22-12-2021 | Research
Research on pre-1926 database reveals equity factors are ‘eternal’
Research on pre-1926 database reveals equity factors are ‘eternal’
New research reveals that equity factor styles have existed and persisted since the mid-19th century.
21-12-2021 | Research
Talk ‘22: ‘Staying the course is crucial’
Talk ‘22: ‘Staying the course is crucial’
Covid-19 has shown us that it is important to stick to our approach, says Wilma de Groot, Co-head of Quant Equity Portfolio Management.
17-12-2021 | Interview