AIMA Canada Research Award Winner Demonstrates Implementing a Low-Volatility Investment Strategy Not as Simple as it Might Seem

TORONTO, June 12, 2012 /CNW/ - The Alternative Investment Management Association-Canada Inc. (AIMA Canada) is pleased to announce that the winner of the 2011 AIMA Canada Research Award is Ming (Marcus) Xu, CFA, M.A., M.Sc., former Director of Equity Investments and Partner with Genus Capital Management Inc. of Vancouver B.C. Mr. Xu will receive a cash prize of $10,000 for his winning submission.

The winning paper is entitled "Naïve Low Volatility Equity Portfolios are Risky A Practical Study in Successful Implementations"

In his paper, Mr. Xu states that constructing a portfolio based strictly on minimizing volatility (or standard deviation) destroys more excess returns (also known as alpha) than it might create due to high portfolio turnover and associated transaction costs.  Adding quality screens or a yield component to the process can ameliorate this challenge however the resulting portfolio would have a small-cap value bias vs. the market indices both in the Canadian and global equity markets.  The paper showed that even after removing this bias, a strategy incorporating Low Volatility and High Yield filters would still outperform the broad markets.

The paper concludes that there are many methods and features that may be employed by Low Volatility investment strategies and designing and implementing the correct one requires careful theoretical consideration and empirical studies.

Mr. Xu's paper was chosen from among entries from both Canadian professionals and academics. The winning submission was determined by an independent adjudication panel chaired by Mr. Paul Bates, Special Advisor to the President of the DeGroote School of Business at McMaster University. The panel consisted of leading academic faculty from business schools across Canada. Mr. Xu's paper is available on the AIMA Canada website.

In congratulating this year's award winner, AIMA Canada Chair Gary Ostoich said: "Mr. Xu's paper continues the exceptionally high standard set by previous AIMA Canada Research Award winners and represents an important contribution to the ground-breaking body of Canadian research generated by the award.

Established in 2004, the award was created to encourage and recognize high-quality applied research in the field of alternative investments in Canada and is open to academics, students and practitioners who are Canadian residents or were resident in Canada when conducting their research.

About the Alternative Investment Management Association (AIMA)
AIMA is the hedge fund industry's global, not-for-profit trade association with over 1,300 corporate members (with over 6,000 individual contacts) in more than 40 countries worldwide.

Members include hedge fund managers, fund of hedge funds managers, prime brokers, legal and accounting firms, investors, fund administrators and independent fund directors. They all benefit from AIMA's active influence in policy development, its leadership in industry initiatives, including education and sound practice manuals and its excellent reputation with regulators.

AIMA Canada, the Canada National Group of the Alternative Investment Management Association (AIMA), was formed in March 2003 to act as the voice of the alternative investment industry in Canada. AIMA Canada now has over 85 corporate members. Additional information on AIMA Canada is available at
www.aima-canada.org

SOURCE AIMA Canada

For further information:

Media Contacts:    
Francis Communications    
Barry Francis
416-447-7908
barry@franciscommunications.com

AIMA Canada 
James Burron
416-453-0111  
jburron@aima-canada.org

Organization Profile

AIMA Canada

More on this organization


Custom Packages

Browse our custom packages or build your own to meet your unique communications needs.

Start today.

CNW Membership

Fill out a CNW membership form or contact us at 1 (877) 269-7890

Learn about CNW services

Request more information about CNW products and services or call us at 1 (877) 269-7890