Why Low-Volatility Isn’t Working: “Brexit Broke It"Mark Melin
The market environment since the Brexit “V” bounce has been odd, with correlation breakdowns occurring amid an incredibly tight S&P trading range most of the summer. Market volatility, as measured by the CBOE VIX index, is near lows – odd, particularly given the numerous identifiable market risks known to participants.
In this environment the Nomura Quantitative Investment Strategy team wants to understand why low volatility stock selection has worked so poorly . . .
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