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On the Commonality of Characteristics of Managed Volatility Portfolios

Bastiaan Pluijmers, Imke Hollander, Ramon Tol and Dimitris Melas
The Journal of Investing Fall 2013, 22 (3) 86-98; DOI: https://doi.org/10.3905/joi.2013.22.3.086
Bastiaan Pluijmers
is a portfolio manager for allocation and TAA at Blue Sky Group in Amstelveen, The Netherlands.
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  • For correspondence: bastiaan.pluijmers@blueskygroup.nl
Imke Hollander
is head of investment strategy research at Blue Sky Group in Amstelveen, The Netherlands.
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  • For correspondence: imke.hollander@blueskygroup.nl
Ramon Tol
is a senior fund manager for equities at Blue Sky Group in Amstelveen, The Netherlands.
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  • For correspondence: ramon.tol@blueskygroup.nl
Dimitris Melas
is a managing director at MSCI in London, UK.
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  • For correspondence: dimitris.melas@msci.com
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Abstract

This article investigates the commonality in risk factors and sector biases in managed volatility equity strategies (both active and passive). A unique aspect of this article is that it is written from the perspective of a user of the strategies. Unlike all other past studies it considerers several versions of low volatility strategies—from different managers with different investment approaches and risk models. The findings here are therefore more general and not specific to a particular implementation or risk model. We will explore both actively managed volatility strategies as well as an index strategy.

TOPICS: Analysis of individual factors/risk premia, equity portfolio management

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The Journal of Investing: 22 (3)
The Journal of Investing
Vol. 22, Issue 3
Fall 2013
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On the Commonality of Characteristics of Managed Volatility Portfolios
Bastiaan Pluijmers, Imke Hollander, Ramon Tol, Dimitris Melas
The Journal of Investing Aug 2013, 22 (3) 86-98; DOI: 10.3905/joi.2013.22.3.086

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On the Commonality of Characteristics of Managed Volatility Portfolios
Bastiaan Pluijmers, Imke Hollander, Ramon Tol, Dimitris Melas
The Journal of Investing Aug 2013, 22 (3) 86-98; DOI: 10.3905/joi.2013.22.3.086
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  • Article
    • Abstract
    • DATA AND METHODOLOGY
    • BETA AND VOLATILITY
    • HOLDINGS-BASED ANALYSIS
    • RETURN-BASED ANALYSIS
    • SECTOR ANALYSIS
    • SUMMARY AND CONCLUSIONS
    • APPENDIX A
    • APPENDIX B
    • APPENDIX C
    • ENDNOTES
    • REFERENCES
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