More by the Same Author
2015-11-25 00:00:00 Chasing Performance with ETFs by Chris Brightman, Feifei Li, Xi Liu of Research Affiliates
ETF providers respond to investors’ preference for strong recent performance by launching new funds with hot strategies. Our research reveals a striking pattern of post-launch performance.
2015-10-22 00:00:00 Black Ice: Low-Volatility Investing in Theory and Practice by Feifei Li, Engin Kose of Research Affiliates
Equity investors have endured two extreme market downturns since the turn of the century. The broad U.S. market, represented by the S&P 500 Index, fell by 44% in the aftermath of the dot-com bubble and 51% in the great recession. These devastating experiences reawakened institutional and individual investors to the downside of market volatility and, for a while, prompted great interest in low-volatility investing.
2014-09-05 00:00:00 True Grit: The Durable Low Volatility Effect by Feifei Li, Philip Lawton of Research Affiliates
There is no assurance that low-risk stocks will continue to produce superior long-term returns. Nonetheless, due to investors preferences and managers incentives, the outlook remains promising. And the market does not seem to learn from experience.
2014-06-27 00:00:00 Timing Low Volatility Investments by Feifei Li of Research Affiliates
If a secular bear market is coming, a low-volatility strategy might serve well. The five-year return of a simulated low-vol portfolio beat cap-weighting 75% of the time when the market P/E exceeded 20.
2013-08-02 00:00:00 Avoiding Pricey Low Volatility Investing by Feifei Li of Research Affiliates
Low volatility investing reduces a portfolios exposure to the market factor in favor of other historically reliable sources of equity risk premium.But the alluring risk-adjusted performance characteristics of low volatility strategies have lately attracted serious investors, and many managers have developed products to meet the growing demand.Is it possible to preserve the benefits of low volatility investing when prices rise?Feifei Li, Head of Research, suggests implementation refinements that might make a difference.
2013-01-31 00:00:00 Making Sense of Low Volatility Investing by Feifei Li of Research Affiliates
Why do low volatility stocks outperform riskier ones over time? Dr. Feifei Li, our Head of Research and my long-time collaborator, has focused on understanding the theoretical foundation underpinning the low volatility anomaly and documenting the strategy's risk-return characteristics in developed and emerging markets. In this issue of Simply Stated, our newsletter focusing on investor education, she summarizes the literature on the low volatility effect as well as provides additional insights from her own research based on an expanded global data set.
2012-10-22 00:00:00 Eggs Are Not Enough: The Truth About Diversification by Feifei Li of Research Affiliates
We learn in finance theory that diversification simply means not putting all your eggs in one basket. Simple as the idea is, most investors do not hold portfolios that are even close to being truly diversified. Two reasons make this sensible objective difficult to achieve. First, most investors are not disciplined enough to implement diversification. To illustrate my point, pause and check whether you are willing to reduce equities when the trailing 12-month return on stocks is 20+ percentage points higher than bonds?