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Next Dates: - Introduction to QuantLib Development with Luigi Ballabio, September 2 - 4, 2013 - £1700
Low volatility investing and benchmarks
Sat, 21 Apr 2012 04:19:20 GMT
The focus on tracking error rules out a low volatility strategy.
Simply put, most money managers are focused on outperforming their benchmarks without adding risk. And because risk is measured on a relative basis, a portfolio that moves up and down less than its benchmark is perceived as more risky on a relative basis because it is considered less correlated.
from “Is modern portfolio theory bunk?” (my emphasis)
