Since 1998, in developed and emerging markets, lower-volatility stocks have outperformed higher-volatility stocks, while exhibiting lower total risk. These stocks have tended to outperform cap-weighted benchmarks in falling markets, and to underperform those benchmarks in rising markets.
In January 2016, the MSCI Minimum Volatility index had a clear valuation premium versus cap-weighted indexes such as MSCI World.
Stewardship, governance, integration, and active ownership are all components of Acadian’s responsible investing approach.
Over the past 15+ years, both managed volatility and long-short equity hedge funds have provided investors with lower volatility and smaller drawdowns than the cap-weighted benchmark.
We believe that responsible investing considerations are integral to Acadian’s research agenda.
The surprising results of the 2016 U.S. presidential election have triggered a great deal of discussion around why most forecasts were off the mark and the sources of overconfidence in their precision.
Although Saudi Arabia took the first step toward opening its market in 2015, the Saudis are still working to accelerate what, to date, has been a slow process.
From April through August, emerging stocks outperformed, returning 8.6% versus 5.7% for MSCI World. The question now is whether emerging equities still warrant investor attention, or has the opportunity passed?
Investors seeking responsible investing (RI) strategies that fit their ESG preferences or mandates face a daunting challenge, as the industry still lacks an agreed upon taxonomy.
Several types of strategies intended to reduce risk might programmatically generate flows that could exacerbate a sell-off or a spate of volatility.
Based on our research, lower-beta stocks don’t appear overvalued relative to higher-beta stocks, on the whole.
The concept of value is complex and dynamic, and inferences based on conventional wisdom could be misleading, especially if implemented through rudimentary value formulations.
In this update we will put look at the performance of our Diversified Alpha strategy from a historical perspective, provide some guidance to long-term performance expectations, and highlight some important events that took place in the six months since inception.
MSCI announced on June 14 that it will be moving Pakistan from its Frontier Markets Index to Emerging Markets, to take effect in May 2017 during MSCI’s Semi-Annual Index Review.
Over the past year, frontier equities have outperformed emerging equities.