Low volatility investing summit

A rare combination of thinker and doer, and scholar and strategist, Gen Mattis knows the monumental powers and responsibility of our military forces, and the challenges of our dangerous and complex world. His matchless dedication to his job and country earned him universal respect and reverence — from allies and adversaries alike. Gen Mattis served as the 26th Secretary of Defense of the United States for nearly two years before resigning with distinction. With his reputation as a sharp analyst and venerable wartime leader, Gen Mattis received nearly unanimous, bipartisan support for his nomination.

A living Marine Corps legend, he made history by securing special permission from Congress to lead the Pentagon, sooner than he was eligible. As Secretary of Defense, Mattis preferred not to play politics — a quality that boosted admiration for the retired general. Without maintaining those alliances, he says, we cannot protect our interests or serve the role of an indispensable nation in the free world.

His resolve to amass and maintain positive relations with key countries served as a premier example of professionalism and stability in a political landscape wrought with unpredictability. During his 44 years in the Marines, Gen Mattis rose from an year-old reservist to the highest rank of four-star general.

He capped off his military career as head of the U. Emerging markets also referred to as developing markets are generally subject to greater market volatility, political, social and economic instability, uncertain trading markets and more governmental limitations on foreign investment than more developed markets. In addition, companies operating in emerging markets may be subject to lower trading volume and greater price fluctuations than companies in more developed markets.

Companies in emerging market countries generally may be subject to less stringent regulatory, disclosure, financial reporting, accounting, auditing and record keeping standards than companies in more developed countries. In addition, the ability of foreign entities to participate in privatization programs of certain developing or emerging market countries may be limited by local law. Investments in emerging market securities may be subject to additional transaction costs, delays in settlement procedures, unexpected market closures, and lack of timely information.

Small- and Mid-Capitalization Companies Risk. Investing in securities of small- and mid-capitalization companies involves greater risk than customarily is associated with investing in larger, more established companies. Stocks of small- and mid-capitalization companies tend to be more vulnerable to changing time of market conditions, may have little or no operating history or track record of success, and may have more limited product lines and markets, less experienced management and fewer financial resources than larger companies.

Therefore, the securities of smaller companies may be subject to wider price fluctuations and it might be harder for the Fund to dispose of its holdings at an acceptable price when it wants to sell them. Since small-and mid-cap companies typically reinvest a high proportion of their earnings in their business, they may not pay dividends for some time, particularly if they are newer companies.

It may take a substantial period of time to realize a gain on an investment in a small- or mid-cap company, if any gain is realized at all. ESG Exclusion Risk. Because the Fund excludes certain investments for non-financial reasons, it may forego some market opportunities available to funds that do not use these factors.

As a result, the Fund may underperform funds that do not exclude such investments. Growth Investing Risk. Growth companies may be newer or smaller companies that may experience greater stock price fluctuations and risks of loss than larger, more established companies. Newer growth companies tend to retain a large part of their earnings for research, development or investments in capital assets.

Therefore, they may not pay any dividends for some time. Growth investing has gone in and out of favor during past market cycles and is likely to continue to do so. During periods when growth investing is out of favor or when markets are unstable, it may be more difficult to sell growth company securities at an acceptable price. Growth stocks may also be more volatile than other securities because of investor speculation.

Sector Focus Risk. The Fund may from time to time have a significant amount of its assets invested in one market sector or group of related industries. Non-Diversification Risk. The Fund is non-diversified and can invest a greater portion of its assets in the obligations or securities of a small number of issuers or any single issuer than a diversified fund can.

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Low Volatility is short exuberance and junk Low volatility stocks tend to be mature firms with stable earnings and high dividends, which relates to the academic investment, profitability and value factors. Given these style characteristics, low volatility strategies generally tend to struggle during rallies of expensive risky stocks, with rapidly growing balance sheets and weak profitability.

While it is important for investors to be cognizant of this vulnerability of low volatility strategies, they should not interpret it as a fatal flaw, because the growth rallies in question are not supported by improving firm fundamentals. Instead, they are fueled by massive multiple expansion, which eventually tends to mean revert.

Thus, low volatility strategies are short exuberance, and although this can cause significant underperformance in the short run, this positioning ultimately pays off in our view. Low volatility strategies also tend to suffer when distressed stocks rebound. The stocks in question tend to involve high uncertainty, low dividends, a need for fresh capital and low profitability.

In addition to being short exuberance, low volatility strategies are also short junk Therefore, in addition to being short exuberance, low volatility strategies are also short junk. These features help explain the major drawdowns of low volatility strategies, but also highlight the main risk that investors need to accept in order to harvest the low volatility premium in the long run.

Alpha volatility can momentarily cause aberrations Many investors count on low volatility strategies to provide them with capital preservation during severe market downturns. But during the Covidinduced market crash in the first quarter of , the downside protection they offered mostly fell short of expectations. However, the alpha does not come in a smooth, steady return stream, but involves a considerable amount of uncertainty. The black diagonal line reflects the benchmark return and the grey line represents the expected return of a portfolio with a beta of 0.

The blue dots denote positive alphas, the orange dots negative alphas but with some downside protection, and the purple dots negative alphas with no downside protection. Figure 1 Simulated illustration of the impact of alpha volatility on Low Volatility performance Source: Robeco Quantitative Research Although low volatility strategies typically provide the expected protection during market downturns, there is always a non-negligible probability that they do not.

The important thing, however, is that this does not invalidate low volatility investing, especially over the long run. This tail risk is inherently present in low volatility strategies. Figure 1 also helps to explain another counterintuitive result, specifically that low volatility strategies can outperform when the market delivers double-digit positive returns.

Therefore, low volatility strategies cannot only surprise negatively, by underperforming in a down market, they can also surprise positively, by outperforming in an up market. Individual investors appear to be attracted to risky stocks for different reasons, most notably their resemblance to lottery tickets. With a range of pre- and post-trade products and services underpinning the entire lifecycle of a trade, CME Group also offers optimization and reconciliation services through TriOptima, and trade processing services through Traiana.

As an integrated bank, Credit Suisse is able to offer clients its expertise in the areas of private banking, investment banking and asset management from a single source. Credit Suisse provides specialist advisory services, comprehensive solutions and innovative products to companies, institutional clients and high net worth private clients worldwide, and also to retail clients in Switzerland.

Credit Suisse is headquartered in Zurich and operates in over 50 countries worldwide. The group employs approximately 48, people. The company is active in global equity and equity derivatives markets, Swiss real estate and private wealth management. The strategy employs a blend of systematic and discretionary investment processes based on Myopia, the behavioral bias of equity investors.

We are the architect of market liquidity, efficiency and integrity, providing our customers with innovative solutions to seamlessly manage risk. Our vision is to be the globally trusted home of trading, clearing and risk management services. Driving the industry with an extensive offer of innovative products. Our mission is to create better markets. Our mission is to deliver the highest level of expertise and acumen to help our clients manage complex financial risks through the use of derivative instruments.

Founded in , the firm is headquartered in New York and maintains offices in all major financial centers around the world. Tropin in , Graham Capital Management, L. GCM has three main pillars of its business, comprised of systematic trend-following, quantitative macro, and discretionary macro trading strategies.