Event: SQA’s Country and Sector Effects Drive Low-Volatility Investing
Date: Thursday, September 19, 2013
Time: 5:30pm - 7:30pm
787 Seventh Avenue
(between 51st & 52nd)
New York, NY 10019
The International Association of Financial Engineers is pleased to endorse
SQA chose this paper because it explores the underlying drivers of low-volatility investing and proposes a practical approach to replicate the benefits.
Low-risk stocks have historically outperformed high-risk stocks, delivering better long-term returns with less volatility. The authors investigate the role of country and sector effects in low-volatility investing in global equities and find that most of the benefit of the low-volatility anomaly can be earned through country and sector selection in lieu of individual stock selection. The authors conclude that sector and country selection is a more practical approach to individual stock selection for capturing the benefits of low-volatility investing in global equities.
About the speaker:
Sanne de Boer is a Quantitative Analyst in the Global Equities Research team at QS Investors in New York, where he develops models and tools for alpha generation and portfolio management. Prior to joining QS Investors, he was in a similar role at ING Investment Management and held positions measuring and managing various types of risk at Citigroup and American Express. He has also served as an Adjunct Assistant Professor of Decision Modeling at NYU's Stern School of Business.
Sanne started his career at ORTEC Consultants in the Netherlands, implementing revenue management and crew scheduling models for the airline industry. His research has been published in Operations Research, the Journal of Revenue and Pricing Management, the European Journal of Operational Research and the Journal of Asset Management.
He earned an M.S. in Mathematics and an M.A. in Econometrics cum laude from the Vrije Universiteit in Amsterdam and received a Ph.D. in Operations Research from the Massachusetts Institute of Technology. He also holds the Chartered Financial Analyst designation.
Please Save the Date of October 17, 2013 for
with Dan diBartolomeo of Northfield Information Services. Follow the link for full details on the program.