Bailey McCann, Opalesque New York:
Darien, Connecticut-based VelocityShares, a developer of exchange traded products (ETPs) for sophisticated investors, has launched the VelocityShares Equal Risk Weighed Large Cap ETF. Equal risk weighting is an innovative and academically rigorous alternative to both traditional market cap weighted indices and overly simplistic "low volatility" indices. The company also recently released a new research paper unpacking the math behind low volatility investing.
"Many investors do not realize that so called 'low volatility’ weighting only leads to a low volatility portfolio under an unrealistic set of assumptions," said Scott Weiner, Head of Quantitative Strategy at VelocityShares. "Many alternative equity weighting schemes intend to capture the low volatility anomaly, but not all approaches deliver the desired results."
The VelocityShares Equal Risk Weighted Large Cap ETF seeks to provide investment results that correspond generally to the price and yield performance of the VelocityShares Equal Risk Weighted Large Cap Index. The Index is designed to reflect the performance of a portfolio holding a weighted exposure to stocks comprising the S&P 500® Index. The target weighting of each stock is determined using a proprietary risk-weighting methodology that measures a stock’s risk exposure and then weights the positions such that each stock is expected to contrib......................
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