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Lokesh Mrig

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Articles by Lokesh Mrig

    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.

    Understanding Factor Investing

    Research Report | Mar 30, 2016 | Raina Oberoi, Anil Rao, Subramanian Aylur, Lokesh Mrig

    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 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...