Persistent Volatility: Continued market uncertainty sets up well for low volatility; controlling sector risks and adding quality to anchor the portfolio to strong fundamentals is especially important.
More Effective De-Risking: Both stocks and bonds have elevated volatility leaving asset class shifts less effective in reducing portfolio volatility. A low volatility approach to equity fulfillment may be an effective choice to achieve lower portfolio volatility.
Importance of Risk Controls: Low volatility strategies may vary significantly with regards to risk controls. Left unchecked, low volatility portfolios can have concentrations to sector, region, and macro-economic risk. The index is constructed to limit exposure to such uncompensated risks.
Downside capture measures how much performance loss a fund captures relative to a benchmark index in down markets.
Upside capture measures how much performance gain a fund captures relative to a benchmark index in up markets.
Alpha is the excess return of an investment relative to the return of a benchmark index.
Northern Trust Quality Low Volatility Index tracks a portfolio of is designed to reflect the performance of a selection of companies that, in aggregate, possess lower overall absolute volatility characteristics relative to the Northern Trust 1250 Index.
Russell 1000 Index is an index of approximately 1,000 of the largest companies in the U.S. equity market.
Why Now May be the Time to Invest in a Quality Low Volatility Strategy
Learn how quality can help low volatility strategies shine bright