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Durga Shankar

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Articles by Durga Shankar

    Constructing Low Volatility Strategies

    Research Report | Jan 25, 2016 | Mehdi Alighanbari, Stuart Doole, Lokesh Mrig, Durga Shankar

    Low volatility is one of the few factors that have historically performed well in turbulent markets. Moreover, over long periods of time, this defensive strategy has produced a premium over the market, contravening one of the most basic theories in finance — that one should not be rewarded with greater returns for taking less than market risk. Since the global financial crisis hit in 2008, low volatility has garnered increased attention from institutional investors. In this paper, we explore...