Treasure Hunter: Reward your Risk (FTSE 100)
The low volatility anomaly highlights that investors are not rewarded for bearing risk: low risk stocks tend to outperform their risky peers.
The latest methods to build diversified portfolios (Minimum variance, Equal Risk Contributions (ERC), Risk Parity) take advantage of the low volatility anomaly. Fundamentally those techniques completely ignore expected returns and focus only on risk.
However, the devil is in the details: it seems that much of the anomaly can be explained by the poor performance of high-volatility stocks, not the outperformance of low-volatility stocks.
Millesime-IS' risk-based quantitative filter, known as theTreasure Hunter, considers risk, correlations AND expected returns to detect the most valuable and the fake’s gems in stock markets.
- Millesime Investment Solutions is an independent investment research firm based in Paris. We provide innovative, quick and easy-to-read research to help investors improve their performance while saving precious time. To this aim, we rely on a highly skilled team of quantitative economists with extensive professional and academic experience.
- Millesime IS commits to establish strong, interactive relationships with our clients to address their specific needs.
Unfortunately, this report is not available for the investor type or country you selected.
Browse all ResearchPool reportsReport is subscription only.
Thank you, your report is ready.
Thank you, your report is ready.