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Abstract
Investors are displaying a fast-rising appetite for low volatility strategies, given growing academic and empirical evidence of consistent outperformance over the markets from which they are drawn. However, many existing low volatile strategies are optimized, creating biases toward smaller cap stocks and over-concentration in a small number of sectors and/or countries. Instead, we develop a heuristic-based design that leads to a practical portfolio with a superior Sharpe ratio as well as more investor- friendly attributes, including a lower turnover rate, higher investment capacity, relative transparency, and broader market representativeness.
TOPICS: Volatility measures, portfolio construction, statistical methods, factor-based models
- © 2013 Pageant Media Ltd
Don’t have access? Click here to request a demo
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US and Overseas: +1 646-931-9045
UK: 0207 139 1600