Low Volatility: A Practitioner's Guide

S&P Dow Jones Indices    Tim Edwards, Craig Lazzara, Hamish Preston
12 Jul 2018
Categories: General Market Analysis, Investment Management, Investor Education, Equity Investments

Country or region: Asia Pacific (Overall)

Summary:
S&P Dow Jones Indices produces a range of low volatility indices, covering various single-country and international markets, which offer a perspective on the returns of lower volatility equities and provide a basis for index-linked products and benchmarks globally.


Reference URL: https://spindices.com/documents/education/education-low-volatility-a-practitioners-guide.pdf




Abstract

S&P Dow Jones Indices (S&P DJI) produces a range of low volatility indices, covering various single-country and international markets. These indices offer a perspective on the returns of lower volatility equities and provide a basis for index-linked products and benchmarks globally. This practitioner’s guide: 

- Explains the construction of low volatility indices;

- Identifies the role of broader market trends, valuations, interest rates, and sector exposures in determining their performance;

- Highlights the potential applications of low volatility strategies; and

- Summarizes the evidence for the existence and potential persistence of the so-called “low volatility anomaly.”



Date of original publication:

06/14/2018


Statistics
Total Views: 1447
Total Downloads: 22

Share Article

Reader Comments

No comments made on this post yet

Note

If you have any copyright and other associated infringements related to this item, please click on the Terms and Conditions link where you will be directed to the Digital Millennium Copyright Act (DCMA) that will outline the procedure for raising your concern.

If you have any concerns with the content of the item [e.g., offensive language and/or material, inappropriate material] then please proceed to utilize the Contact Us form. Remember that when using the Contact Us form, please ensure you reference/cite clearly the item in question (e.g., name of article, author(s) of article) and the nature of the complaint.

Categories