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• W3122800917 abstract "In this article, de Carvalho, Lu, and Moulin consider five risk-based strategies: equally weighted, equal-risk budget, equal-risk contribution, minimum variance, and maximum diversification. All five strategies can be well described by exposure to the market-cap index and to four simple factors: low beta, small cap, low residual volatility, and value. This finding, in their view, is a major contribution to the understanding of such strategies and provides a simple framework to compare them. All except the equal-weighted strategy are defensive and have lower volatility than the market-cap index. Equal-weighted is exposed to small-cap stocks. Equal-risk budget and equal-risk contribution are exposed to small-cap and to low-beta stocks. These three have a high correlation of excess returns, and their portfolios largely overlap. Their portfolios invest in all stocks available and have both a low turnover and low tracking error relative to the market-cap index. The minimum variance and maximum diversification strategies primarily have exposure to low-beta stocks. These two strategies are the most defensive, invest in much the same stocks, and have high tracking error and turnover. <b>TOPICS:</b>Volatility measures, VAR and use of alternative risk measures of trading risk, analysis of individual factors/risk premia" @default.
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• W3122800917 date "2012-04-30" @default.
• W3122800917 modified "2023-10-03" @default.
• W3122800917 title "Demystifying Equity Risk–Based Strategies: <i>A Simple Alpha plus Beta Description</i>" @default.
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• W3122800917 doi "https://doi.org/10.3905/jpm.2012.38.3.056" @default.
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