Crowding, Capacity, and Valuation of Minimum Volatility Strategies
| Autor: | Andrew Ang, Ananth Madhavan, Aleksander Sobczyk |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Market capitalization
010407 polymers 050208 finance Actuarial science Strategy and Management 05 social sciences Equity (finance) Monetary economics 01 natural sciences Crowding 0104 chemical sciences Management of Technology and Innovation Volatility swap 0502 economics and business Economics Volatility smile Smart beta Volatility (finance) Finance Valuation (finance) |
| Zdroj: | The Journal of Index Investing. 7:41-50 |
| ISSN: | 2374-135X 2154-7238 |
| DOI: | 10.3905/jii.2017.7.4.041 |
| Popis: | Minimum volatility (min vol) strategies are smart beta strategies that are designed to minimize risk. In the past 12 months, ending June 30, 2016, there were $7.8 billion flows into a total of 17 U.S.-equity exchange-traded fund min vol strategies. This represents just 0.04% of total equity market capitalization of the underlying securities. Capacity in these strategies is large because traditional active mutual funds tend to overweight high-volatility stocks. Were these funds to move to a neutral position in high-volatility securities, a shift of roughly $600 billion to min vol would take place. Current valuations of min vol strategies are not high relative to historical norms and are consistent with the observed outperformance of these strategies during periods of high uncertainty. |
| Databáze: | OpenAIRE |
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