• Working Paper
    • EN
Share
9.11.2017 17

Analysing the Exposure of Low-volatility Equity Strategies to Interest Rates

Published November 9, 2017

> 10 minutes

> 10 minutes

ABSTRACT



At the dawn of a potential rise in rates triggered by Central Banks in both Europe and the United States, doubts are being raised about the ability of low-volatility portfolios to continue to deliver robust performance. We quantify this latent performance lag and provide empirical explanations, distinguishing parallel moves from non-parallel distortions in the yield curve. More specifically, we evaluate the implications from the low-volatility screening on the portfolio’s industrial breakdown. The conclusion shows that the overweighting of defensive industries is the main source of underperformance in a risk-on environment. However, these bets happen to be the ones that allow the strategy to outperform over a full economic cycle. Therefore, we propose a method to control the low-volatility exposure to changes in interest rates, which should be of interest to benchmarked portfolio managers.

To find out more, download the full paper


This website is solely for informational purposes.
 
This website does not constitute an offer to sell, a solicitation of an offer to buy, or a recommendation of any security or any other product or service. Any securities, products, or services referenced may not be registered for sale with the relevant authority in your jurisdiction and may not be regulated or supervised by any governmental or similar authority in your jurisdiction.
 
Furthermore, nothing in this website is intended to provide tax, legal, or investment advice and nothing in this website should be construed as a recommendation to buy, sell, or hold any investment or security or to engage in any investment strategy or transaction. There is no guarantee that any targeted performance or forecast will be achieved.

Get in touch with us

Our online help service is available to answer your question

My personal information

If you have a question about our company or one of our products, please complete the form to get in touch. Please do not mention your account numbers or critical data in this form.

Civility*

(*) Required fields
All our job offers (Permanent and temporary position, Internship, Apprenticeship or VIE) are available on our dedicated website: https://jobs.amundi.com.

Register and apply directly online.

Amundi on Twitter