Practical analysis for investment professionals

volatility


How to Build Better Low Volatility Equity Strategies  

Not all low volatility strategies are created equal. Many lack the diversification and risk control needed to guard against concentration and macro risk.

How Sharp Is the Sharpe Ratio? An Analysis of Global Stock Indices

To test the Sharpe Ratio’s effectiveness, we constructed monthly return distributions for global stock market indices to see if any had too much skewness.

Why Invest in Stocks?

Equities are not necessarily more risky than such "safe" assets as US Treasuries. 

Meme Stocks and Systematic Risk

How do meme stocks move relative to stock market indices and other meme stocks?

Low- or High-Volatility: Which Wins the Return Battle?

Are low-volatility or high-volatility strategies the better choice when it comes to equity returns?

The Dark Side of Low-Volatility Stocks

Low volatility may be a great marketing concept, but does it work as a strategy?

Rethinking the 4.5% Rule

Is the standard for calculating a retirement portfolio's maximum withdrawal rate all wrong?

The Myth of Volatility Drag (Part 2)

Should we banish "volatility drag" from our vocabularies?



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