tag:blogger.com,1999:blog-7905515.post76791438868087904..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Robeco Low Volatility ConferenceEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-7905515.post-78326212206096963952012-04-24T17:40:30.242-05:002012-04-24T17:40:30.242-05:00Why S&P index over the MSCI?Why S&P index over the MSCI?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-12795068853415428062012-04-24T10:04:16.785-05:002012-04-24T10:04:16.785-05:00I think this trend will have legs, and low volatil...<em>I think this trend will have legs, and low volatility will grow 10 to 100 fold over the next ten years.</em><br /><br />If this is correct will the premium disappear?JWOhttps://www.blogger.com/profile/00004178958481335795noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-59682383218463879322012-04-23T20:30:26.908-05:002012-04-23T20:30:26.908-05:00Well, if you think the equity risk premium is less...Well, if you think the equity risk premium is less than zero, all equities are lousy investments. The key, many think the equity premium i greater than zero, in which case low vol dominates.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-72838993944777460392012-04-23T20:07:19.823-05:002012-04-23T20:07:19.823-05:00Sorry, I'm not convinced. This "low volat...Sorry, I'm not convinced. This "low volatility ETF" won't be if a black swan event occurs -- no ETF can excuse itself from Taleb's principles by merely holding stocks that exhibit low volatilities during quiet times. In a severe crash, all stocks are sold indiscriminately, including Kellogg, Procter Gamble, Heinz, etc. They really should label this ETF for what it is, a Low Beta ETF, and don't imply that loss of principal is somehow less likely during a Black Swan.Jamesnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-3992621608819265542012-04-23T17:11:40.683-05:002012-04-23T17:11:40.683-05:00Any color on the distress measure Robeco are using...Any color on the distress measure Robeco are using? Would be interested to see if they are leaning towards here http://papers.ssrn.com/sol3/papers.cfm?abstract_id=770805 or here http://www.business.uts.edu.au/qfrc/research/research_papers/rp112.pdf?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-24919482546385689722012-04-23T08:27:04.350-05:002012-04-23T08:27:04.350-05:00SPLV!SPLV!Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-62956852320478426322012-04-23T08:06:15.908-05:002012-04-23T08:06:15.908-05:00Eric,
Of the Low Vol ETFs, which one(s) are you m...Eric,<br /><br />Of the Low Vol ETFs, which one(s) are you most impressed with?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-87044123609498358802012-04-22T17:51:49.123-05:002012-04-22T17:51:49.123-05:0020b on low vol sounds like an underestimate to me,...20b on low vol sounds like an underestimate to me, how did you came up with that number?<br /><br />You also get people who do low vol by accident, that is use some criteria which is a proxy for low vol even if the intention is something else, and stumble thus on the same advantage. They matter from a capacity viewpoint.cighttp://commentisglee.wordpress.comnoreply@blogger.com