Issue link: https://info.seic.com/i/1537650
Pioneering managed volatility investing For over two decades, SEI has helped investors navigate market volatility while pursuing their financial goals. This study helps support our rationale for launching the managed volatility strategies. Source: Analytic Investors, LLC. Period referenced is January 1968 through December 2005. Study refers to the 1,000 largest stocks in the U.S. at the time. Performance shown in USD. Current data may vary. Factor investing can help keep volatility in check Factor investing is a research-backed approach designed to reduce risk while striving for equity-like returns, as illustrated in the chart below, which highlights the key factors driving our investment process. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Quintile Lower volatility Higher volatility Quintile Quintile Quintile Quintile Monthly standard deviation Average monthly returns Monthly standard deviation (risk) Average monthly return Seek outperformance Seek to reduce risk Factor Value Quality Momentum Low volatility Objective Seeks to invest in stocks that are inexpensive relative to fundamentals. Seeks to invest in stocks with healthy balance sheets. Seeks to invest in stocks with positive earnings movement. Seeks to invest in stocks with stable earnings and lower risk. Behavioral foundation Mean reversion in prices due to investor overreaction as a result of loss aversion or liquidity preference. Stable compounding of prices due to investor tendency to overpay for lottery-like outcomes. Trend in prices due to investor under- reaction as a result of anchoring. Risk reduction via stocks with more stable return profiles and/or lower correlation to the market. As this chart illustrates, higher risk may not always lead to higher return. 2