"International Minimum-Variance Strategies: Some empirical results", Barra Newsletter, Summer 1995, p1
Topic: Investing (Investment Management) |
Asset Class: Equities
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Professor Robert Haugen made an astonishing observation in the early 1990s about the U.S. equity market. He stated that the return of a fully invested equity portfolio which weights the stocks to minimize total risk achieves a return that is not lower but higher than the return of the S&P 500 index.1 This portfolio has the lowest possible variance and is therefore called the minimum-variance portfolio. Investing in a minimum-variance portfolio is an appealing strategy, particularly to conservative institutional investors like pension funds and insurance companies.
Publication:
Authors: KLEEBERG Jochen M.
