japanja

Low volatility ETF

Low volatility ETFs are Exchange Traded Funds (ETFs) designed to exploit the volatility anomaly.

These usually replicate popular publicly available indices, such as MSCI Minimum Volatility Indexes or the S&P 500 Low Volatility index, at relatively low cost. However, research by Robeco shows that replicating on public low volatility indices can lead to significant arbitrage risk for investors, that can penalize long term performance.

An alternative would be in to invest in ETFs that replicate bespoke low volatility indices, which are only on public to those who invest according to them.

See also: Volatility anomaly, Low volatility strategies

クオンツ運用
クオンツ運用

ロベコは25年以上にわたりクオンツ運用をリードし、応用研究を実践的なソリューションに適用してきました。

さらに読む
‘Equity price movements are mainly driven by behavior, not risk’
‘Equity price movements are mainly driven by behavior, not risk’
The FIFA 19 Ultimate Team (FUT) online transfer market and machine learning shed some light on behavioral finance.
01-07-2021 | インタビュー
Showing the way to Paris-aligned investing
Showing the way to Paris-aligned investing
The race to zero is on.
10-06-2021 | インサイト
Podcast: Navigating change and challenge in the asset management industry
Podcast: Navigating change and challenge in the asset management industry
It’s never a dull moment in the asset management industry.
04-06-2021 | ポッドキャスト