Language: English
Speaker: Harindra de Silva, CFA, President, Analytic Investors
Outline
The lack of a systematic positive correlation between the volatility of a stock and its subsequent return continues to be documented by both academic and practitioners. Investors can exploit this anomaly – which is independent of other well documented effects such as momentum, value and the small cap effect – by building portfolios which are specifically targeted to have low levels of volatility. These low volatility portfolios tend to have 20 to 40% of the volatility associated with a typical equity portfolio, but similar absolute returns. With an increasing focus on overall portfolio volatility – as opposed to tracking error – plan sponsors can use this type of portfolio to more effectively manage overall portfolio risk.
Speaker
Harindra de Silva, CFA, is president and portfolio manager at Analytic Investors, Inc. Previously, he was a principal at Analysis Group. Dr. de Silva has written several articles and studies on finance-related topics, including stock market anomalies, market volatility, and asset valuation. He is a member of the American Finance Association and the International Association of Financial Analysts. Dr. de Silva holds a BS in mechanical engineering from the University of Manchester Institute of Science and Technology, an MBA in finance and an MS in economic forecasting from the University of Rochester, and a PhD in finance from the University of California, Irvine.
Registration
If you wish to attend this seminar, please register here.
You can bring non-member guests (including candidates), if seats are available. However non-member guest should pay 2,000 yen as a seminar fee at the door. In this case, please prepare exactly 2,000 yen as we don't prepare any change. |
