Research and Insights
Articles by Lokesh Mrig
Low Volatility over the Market Cycle: Understanding Factor InvestingResearch Report | Oct 18, 2023 |
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.
Understanding Factor InvestingResearch Report | Mar 30, 2016 |
The size premium has been widely used in asset allocation and in risk models for decades. However, some academics and practitioners have contested the validity of the size premium. They argue: 1) the size premium has disappeared in the last 20 years and no longer exists; 2) the size premium exists only in the United States and not in other markets; 3) the size premium disappears after filtering out smaller stocks for investability. In this paper, we refute these claims and examine ways of...
Constructing Low Volatility StrategiesResearch Report | Jan 25, 2016 |
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...