Volatility strategies

Low downside volatility

Investing in factor strategies that aim to exploit the low-risk effect using standard deviation limits the upside potential. This happens because using standard deviation penalizes both negative and positive deviations from mean returns equally.

Hence, relying on a risk measure that focuses only on the volatility of negative returns, such as downside volatility, can help avoid this drawback.

Minimum downside volatility

Our minimum downside volatility framework optimizes what’s really important to investors – their downside. Classic minimum volatility strategies treat both negative and positive deviations from the mean returns as equally undesirable.

In contrast, our minimum downside volatility approach only considers negative returns when calculating a portfolio’s risk, and we are therefore able to construct indices that are more in line with investors’ needs.

High dividend maximum upside volatility

This strategy is designed specifically with structured products in mind and seeks to create a portfolio of highly liquid stocks exhibiting very high upside volatility, while demonstrating a consistently high dividend yield.