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Contributions by Durga Shankar


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  1. PAPER

    Research Insight - Constructing Low Volatility Strategies - January 2016 

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

    Factor and Risk Modeling , Investing (Investment Management) , Portfolio Construction and Optimization

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    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 both rules-based and optimization-based approaches to constructing low volatility strategies.