RT Journal Article
SR Electronic
T1 How Risk–Return Efficient Are Target Risk Strategies?
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 33
OP 42
DO 10.3905/jii.2014.4.4.033
VO 4
IS 4
A1 Roland Füss
A1 Markus Grabellus
A1 Ferdinand Mager
A1 Jan-Carl Plagge
YR 2014
UL https://pm-research.com/content/4/4/33.abstract
AB We empirically analyze the properties of target risk strategies compared with pure index investments. We also study them in the context of popular alternative strategies such as minimum-variance and equally weighted portfolios. We document a strong (out)performance. For our sample period of about 20 years, capitalization-weighted index returns can be systematically achieved at a lower variance. However, there is a trade-off between leveraging that potentially creates higher returns and the volatility loss due to leverage that leads to an optimal risk level.TOPICS: Mutual funds/passive investing/indexing, portfolio construction, style investing