Blog
Are Low Volatility Strategies “Broken”?
| Tony Barchetto, CFA
Low volatility strategies provided little to no protection in March following the COVID outbreak and are continuing to...
Hedging Your Bets: Another Way to Play Defense
| Tony Barchetto, CFA
Despite signs of froth, investors still seek defensive investments for their portfolios.
Volatility targeting gets ba...
Liquidity: Same As It Ever Was... or Not?
| Tony Barchetto, CFA
Moving in and out of markets in this environment is difficult to say the least
Recent bid/ask spreads suggest stock m...
We're in No Man's Land—Rookies and Vets Both Struggle to Find Meaning
| Tony Barchetto, CFA
There’s nothing marking the transition from young punk to grizzled veteran in the markets. It just happens. One day you’...
Getting High on High Beta
| Ryan Poirier, ASA, CFA, FRM
Last year was a run up year, with the S&P 500 surging 31.49%. Yet some factor indices performed much better and some wor...
Psst…meet the Steve Kerr of Low Volatility
| Ryan Poirier, ASA, CFA, FRM
One year ago, the Salt Low truBeta™ US Market Index joined the fight against volatility. [1] The team is already stacked...
Betting Big with Beta
| Ryan Poirier, ASA, CFA, FRM
Large market swings can spook even the most experienced traders. Since 2017, the most tranquil calendar year on record, ...
Beta for IPOs, Now Available
| Ryan Poirier, ASA, CFA, FRM
Uber and Lyft excited the public markets in the first half of the year with their highly anticipated IPOs. More companie...
High Beta: Better Ingredients Make the Dish
| Tony Barchetto, CFA
Properly evaluating performance in investing is critical. For new entrants, waiting for enough time to pass to start any...
Overslept? No Problem, Trading Late in the Day Proves Fruitful
| Ryan Poirier, ASA, CFA, FRM
Buying the SPY at the close and then selling it the following morning at the open would have produced a positive retur...
Research
Risk Before Return: Targeting Volatility with Higher Frequency Data
| Salt Financial
Volatility targeting is a relatively simple concept. The historical average volatility of the S&P 500 is about 18% per year. An investor looking to target a level of 10% could dynamically adjust a stock portfolio by allocating a portion to a risk-free asset like cash to reduce volatility to the targeted level.
The Low-Risk Anomaly: How Much is a Good Risk Estimate Worth?
| Ryan Poirier, ASA, CFA, FRM
“Many academics and practitioners rely on standard, relatively basic methods to estimate and manage portfolio risk. This can impact an investment manager's ability to accurately target lower volatility stocks designed to exploit the well documented low-risk anomaly. This paper finds a hybrid risk estimate that mixes short-, medium-, and long-term variances leads to superior ex-post information ratios and alphas by properly aligning securities in the correct order (low risk to high risk). This risk estimate may be worth between US$420 million and US$1.9 billion annually, calculated from the overall size (US$75 billion) of the market. The significance of this estimate survives transaction costs, various time periods, and risk factor exposures.”
Quarterly Beta Forecasting with Multiple Return Frequencies
| Salt Financial
Using high-frequency returns can help improve responsiveness and accuracy in estimating market risk in your portfolio.