Features of the Factor Low Volatility Strategy

Student: Zaytsev Nikita

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2020

This paper is dedicated to the topic: "Features of the Factor Low Volatility Strategy". The work consists of an introduction, literature review, methodology, results review, conclusion, list of references, and appendices. The introduction reveals the relevance of the chosen topic, describes the goals and objectives of the qualification work. The first chapter describes the theoretical and methodological basis for building a low volatility strategy, the design of the strategy itself, as well as models and coefficients for testing the arbitrage portfolio for various factors. The second chapter describes the results obtained when testing a strategy based on a low volatility anomaly. The final part summarizes the work done and discusses further ways to develop this topic.

Full text (added May 14, 2020)

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