latames

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

Quantitative investing: invisible layers surface to deliver attractive returns
Quantitative investing: invisible layers surface to deliver attractive returns
Read more
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 | Investigación
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 | Investigación
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 | Entrevista