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Low Vol Strategy Cheapness/Expensiveness
Michael Doherty
edited
Seeking Help

Howdy,

I am interested in demonstrating over time how much valuations have contributed to the return of a long only min var/ low volatility factor based strategy over the so called "low vol anomaly."

In the Quantopian notebook:

I would like to compute the daily volatility of the constituents in the S&P 500 using 252 daily trading days, rank the constituents in order of volatility, and then take the top 100 securities and calculate the average of how expensive or cheap they are using various valuation metrics, looking at it on a rolling quarterly window.

I would also be interested to see this strategy back tested using the weighted inverse of the securities volatility.

If anyone can help me get started it would greatly appreciated!

Thanks,
Mike

2 responses
Michael Doherty

Even help getting started on building a custom factor by volatility would be great! Little help, little help now!!

Simon Thornington

I think there's a builtin volatility factor now, at least an exponentially-decaying daily standard deviation one.

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