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 during a market environment of low volatility. They consider the popular notion — crowding in to low volatility stocks has led to over valuation. But in the end they…
Why Low-Volatility Isn’t Working: “Brexit Broke It"
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.
