Extended Viewer

Durga Shankar

Research and Insights

Articles by Durga Shankar

    Low Volatility over the Market Cycle: Understanding Factor Investing

    Research Report | Oct 18, 2023 | Mehdi Alighanbari, Stuart Doole, Lokesh Mrig, Durga Shankar

    Drawing on 35 years of data, we show that the fundamental characteristics of the MSCI Minimum Volatility Indexes have remained consistent with the expected behavior of the low-volatility factor — to perform well in turbulent markets.

    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...