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
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
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
SOURCE AIMA Canada
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