Low Downside Volatility
Investing in factor strategies that aim to exploit the low risk effect using standard deviation limits the upside potential. This happens because using standard deviation punishes both negative and positive deviations from mean returns equally. Hence, relying on a risk measure that focuses only on the volatility of negative returns, such as downside volatility, can help to avoid this drawback.
Minimum Downside Volatility
Our minimum downside volatility framework optimizes what’s really important to investors – their downside. Classic minimum volatility strategies treat both negative and positive deviations from the mean returns as equally undesirable. In contrast, our minimum downside volatility approach only considers negative returns to calculate a portfolio’s risk and hence we are able to construct indices that are more in line with investors’ needs.
High Dividend Maximum Upside Volatility
This strategy is designed specifically with structured products in mind and seeks to create a portfolio of highly liquid stocks exhibiting very high upside volatility, while demoning a consistently high dividend yield.