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T. Dangl, M. Kashofer:
"Minimum Variance Stock Picking";
Vortrag: INQUIRE Europe and INQUIRE UK Spring Seminar 2015, Coombe Abbey, Warwickshire, UK (eingeladen); 15.03.2015 - 17.03.2015.

siehe Abstract english

Minimum-variance (equity) portfolio selection is increasingly popular among
investors. We study a broad set of 63 different, commonly used approaches to
build long-only minimum-variance portfolios among US as well as European
stocks. We focus on the stock picking characteristics of minimum-variance
approaches and find a high degree of consensus across different methods regarding
the selection of particular stocks. Hence, the increasing demand for
low-volatility equity strategies translates into increasing demand for a rather
small subset of stocks, independent of the particular portfolio approach one
employs. Further, we analyze the price-to-book multiples of minimum-variance
portfolio constituents over the past 23 years (for S&P 500 stocks, and 13 years
for STOXX Europe 600 stocks, respectively) and report a gradual shift in preference
for these stocks over time. While in the 1990s, minimum-variance constituents
traded at a discount (below-average price-to-book), today they trade
at a considerable premium, up to 23 % in the US (S&P 500) and up to 40 % in
Europe

portfolio selection, factor investing