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Contributions by Lokesh Mrig


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  1. 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 implementing the size premium. Notably, there is a “sweet spot” along the all-cap spectrum that can be used in constructing “smarter” size-based portfolios.

  2. 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.