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The “Science” and “Art” of High Quality Investing

The “Science” and “Art” of High Quality Investing Frederick L. Muller and Bruce D. Fielitz, “Standard & Poor's Quality Rankings Revisited,” The Journal of Portfolio Management , Spring 1987, Vol. 13, No. 3. As cited in “David Swensen on the Fossil Fuel Divestment Debate,” Editors Corner, Financial Analysts Journal , Volume 71 No. 3. See also http://acir.yale.edu/pdf%20and%20hyperlinks/CCIR%20Statement%20(2014).pdf . An engaging summary discussion of both the academic and practitioner history of low volatility investing by Eric Falkenstein: http://falkenblog.blogspot.com/2014/12/history-of-low-volatility-investing.html . Steve Johnson, “Minimum variance bandwagon worries Union Investment,” Financial Times , April 5, 2015, More than a third of Union's equity assets, about €20bn, are managed in minimum variance and minimum volatility strategies…But Schindler fears that booming demand for minimum variance approaches means the uncorrelated stocks central to the strategy are now becoming more and more correlated, destroying its rationale. Kalsenik Kose (2014) makes a provocative point around academic research on the topic of quality investing, and “the obvious incentives pushing academics to ferret out investment strategies with anomalous returns lead to what John Cochrane (2011) memorably characterized as a zoo of factors.” They mention that out of 40 quality factors examined by them, only 25 yielded positive results, of which 6 were statistically different from zero. Comparing http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Corporate Finance Wiley

The “Science” and “Art” of High Quality Investing

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Publisher
Wiley
Copyright
Copyright © 2015 Cantillon and Mann
ISSN
1078-1196
eISSN
1745-6622
DOI
10.1111/jacf.12120
Publisher site
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Abstract

Frederick L. Muller and Bruce D. Fielitz, “Standard & Poor's Quality Rankings Revisited,” The Journal of Portfolio Management , Spring 1987, Vol. 13, No. 3. As cited in “David Swensen on the Fossil Fuel Divestment Debate,” Editors Corner, Financial Analysts Journal , Volume 71 No. 3. See also http://acir.yale.edu/pdf%20and%20hyperlinks/CCIR%20Statement%20(2014).pdf . An engaging summary discussion of both the academic and practitioner history of low volatility investing by Eric Falkenstein: http://falkenblog.blogspot.com/2014/12/history-of-low-volatility-investing.html . Steve Johnson, “Minimum variance bandwagon worries Union Investment,” Financial Times , April 5, 2015, More than a third of Union's equity assets, about €20bn, are managed in minimum variance and minimum volatility strategies…But Schindler fears that booming demand for minimum variance approaches means the uncorrelated stocks central to the strategy are now becoming more and more correlated, destroying its rationale. Kalsenik Kose (2014) makes a provocative point around academic research on the topic of quality investing, and “the obvious incentives pushing academics to ferret out investment strategies with anomalous returns lead to what John Cochrane (2011) memorably characterized as a zoo of factors.” They mention that out of 40 quality factors examined by them, only 25 yielded positive results, of which 6 were statistically different from zero. Comparing

Journal

Journal of Applied Corporate Finance – Wiley

Published: Jun 1, 2015

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