What makes an appropriate benchmark for low volatility equity strategies?
Watch the replay from our recent webinar and hear from Erik Jackson, Katherine Lypkie, and Paul Martin on recent performance of low volatility equity strategies and suggested best practices for allocating to and monitoring these investments.
Watch time: 38 minutes 27 seconds
RBC Global Asset Management
Hello and welcome to our discussion on low volatility equities strategies.
VP & Institutional Portfolio Manager, PH&N Institutional
My name’s Paul Martin. I’m an institutional portfolio manager and vice president here at PH&N Institutional, which is the Canadian institutional business of RBC Global Asset Management. I’m joined today by my colleagues, Erik Jackson, who’s also an institutional portfolio manager based in Vancouver, and Katherine Lypkie, an institutional portfolio manager based in Toronto.It’s been two years since we last had a webinar on this topic, and the market has certainly given us lots to talk about. We’re going to begin by circling back to the topic of our last webinar and reviewing the recent market performance and how low volatility strategies have performed through the volatility. We’re going to then look at different approaches to benchmarking low volatility strategies, which is the subject of a paper we’ve published recently. And then finally, we’re going to finish by providing an update on a couple low volatility strategies that we’ve introduced in the last two years. To begin with, a few housekeeping items. Today’s presentation is interactive. We’re going to have an audience poll in a few minutes, and at the end we’re going to have a live Q&A session. We encourage you to submit questions at any time during the presentation. I believe you can click on Ask a Question on the bottom of your screen and we’re going to try and take the time to answer as many of those at the end as time allows. At the end of our discussion, there’s also going to be an opportunity to provide feedback and we’d appreciate it if you could take a moment to let us know if you found today’s discussion useful. So, with that, let’s begin. So it has absolutely been a rough year for equities so far. On the left-hand side of this page, we show the performance of global markets for the first six months of the year. You can see that in Canadian dollar terms, the MSCI World is down almost 19% for the year. Canadian equities have fared a little bit better, but still, a very rough start. If we look at the performance of sectors within the market, on the right-hand side of the page, what we observe is that the sector performance is quite typical for an equity market drawdown. We see that economically sensitive sectors, such as industrials and consumer discretionary have been among the worst performance as well as high beta sectors such as technology or communications, which this (sic) days is the home of a lot of internet stocks, have been among the worst performers as well. This is quite different than what occurred during the initial pandemic drawdown in the first half of 2020 when the causes of the drawdown were quite different and, thus, the sector performance was also quite different. The biggest difference then was that technology stocks were among the biggest beneficiaries of the lockdowns that took place and were, therefore, some of the best-performing stocks in the market. But given this time around sector performance is much more typical, we observed that low volatility strategies have also performed much more as they typically do in a market drawdown. And we’ve actually just published a short paper on this topic, which you can find on our website. However, to review, here what we show you is the performance of the MSCI Minimum Volatility Indices going back over the worst five drawdowns since their inception, which I believe was 1989. And as we’ll discuss a little bit later, we don’t think that these indices necessarily define low volatility strategies, but we do think that they’re a reasonable proxy and they’re quite useful for analysis such as this. So to have a look at it, what you can see is that there’s quite a consistent pattern here of low volatility strategies outperforming in down markets. They were less effective in the initial drawdown in 2020, which we just described and the reasons for that, and we argued at the time it’s because of the unusual features of what was going on then and that didn’t necessarily mean that low volatility strategies were broken, and we think that the performance so far this cycle validates that conclusion. But despite the better performance of low vol. strategies so far this year, the past couple years have not all been feel-good times for investors in these strategies and that’s because of the very large tracking error that these strategies have relative to the cap-weighted indices that we often compare them to. So what we’re showing you here is the rolling one-year performance of, again, the MSCI Minimum Volatility Index, in this case, this is the global version, compared to the cap-weighted MSCI World Index. And what you can see is that there’s strong mean reverting relationship, but the deviations in performance can be very wide. At times, low vol. can outperform by 20% over a year; and at times, it can underperform by as much as 20%, and that was the case this time last year where—well, if you were sitting there in July of 2021, you would have seen that this index was more than 20% behind its cap-weighted counterpart. So for investors benchmarking their low volatility strategies against the cap-weighted index, it was a painful time. So this sort of raises the question, is there a better way to do this? Is there a better way to benchmark these strategies? And that’s the subject of a recent paper, and in a moment, Katherine is going to go through the pros and cons of some different approaches. But to begin with here though, we wanted to ask our audience a couple of questions and get a better understanding of how investors are thinking about these strategies. So if we could bring the polling questions to the screen, please. The first question we wanted to ask is why have you invested in a low volatility equity strategy? And if you’re a consultant working with different clients, perhaps you could answer with the reason that you’ve seen most commonly. A, have you done this to reduce risk in the portfolio? B, to redistribute risk in a portfolio? C, as a complement to other equity strategies in a portfolio? D, as the sole equity strategy in a portfolio, with the goal of earning a higher return than the cap-weighted index? Or E, we’ve not invested in a low volatility equity strategy? Certainly, we’ve seen investors invest in them for all of these reasons, but we’ve love to get a sense of how most people are thinking about it. And then our next question is if you have invested in a low volatility strategy, how do you benchmark it? A, the cap-weighted index with a focus on returns? And by that, of course, we mean the TSX or the MSCI World or the S&P 500. B, looking at the cap-weighted index, looking at risk-adjusted returns such as the Sharpe ratio? C, a minimum volatility index, such as the MSCI Indices we’ve just talked about? D, a composite of cash and a cap-weighted index? Or E, something else? So I believe that as you answer, you’re going to be able to see the responses from the other participants. We’re going to leave the polling open for a few more minutes, so if you want to think about it, you can take your time to respond. We’re actually going to circle back and look at the results at the end of the discussion. But right now, I’m going to turn it over to Katherine to look at different benchmarking strategies for low volatility equity strategies. So, over to you, Katherine.
Perfect. So we’ll start by discussing the characteristics of a valid benchmark, as described here by CFA Institute. Now when it comes to selecting a valid benchmark for a low volatility strategy, the vast majority of the characteristics that you see here are quite clear, they’re applicable, and easily met.However, there are two characteristics here where we do tend to see challenges arise. So the first is appropriate or, in other words, is the benchmark aligned with the investment style of a low volatility strategy, and accountable? Or, in other words, given the potential difference in style or perhaps the construction of the benchmark, is the manager willing to be measured against this benchmark? And so with these definitions in mind, I’m going to walk through in a moment the four benchmarks that we typically see low volatility strategies measured against, and I’m going to touch on three key points for each benchmark. So first, I’m going to describe the primary benefits and drawbacks of using that benchmark; second, I’m going to use an illustration to convey a particularly important consideration to keep in mind when assessing this benchmark; and then finally, I’m going to conclude by bringing it back to these characteristics that you see here of a valid benchmark to see which criteria may require some additional investigation. So we’ll start with the broad, cap-weighted index. In terms of benefits, there’s two key ones here. First, since this index is used to monitor and measure more traditional equity strategies, we do see that investors are already very familiar with it. It’s commonly used, easily understood, and so it can be readily applied in this low volatility context as well. The second benefit is that since this benchmark is one of returns rather than some sort of other metric of performance, such as risk or risk-adjusted returns, blending the performance of this benchmark with the performance of other benchmarks to calculate a top-level total portfolio performance comparison can easily be done for an investor’s multi-asset portfolio. The drawbacks, that said, are quite a few for using this index as a benchmark. The most obvious is that the objective or style of a low volatility strategy is not captured, And as such, we do see that outperformance or underperformance, relative to this benchmark, can’t actually help us to verify whether or a reduction in volatility has been met. Likewise, we also see that high tracking error can occur when comparing a low volatility strategy to the broad index. And so on the right-hand side, we’ve provided the evidence of this over time. Here what we’ve displayed is a chart that Paul has actually just referenced and so you should be familiar with the information here and the challenge that this high tracking error can unfortunately create. Finally, bringing it back to these characteristics of a valid benchmark, the points I’ve highlighted here have hopefully conveyed that the appropriate and accountable requirements may or may not be met with this particular index as a benchmark. So the second benchmark that we’ll cover is the minimum volatility index. There are two key benefits here. First, this benchmark can, of course, be extremely helpful to us and, in fact, we’ve already referenced it a few times already and will continue to do so throughout the presentation. And this is for a distinct reason. It’s because this benchmark shares a common objective, which is to seek to minimize or lower volatility, so that style factor is really covered off well. Second, similar to the broad, cap-weighted index, a total portfolio performance comparison can easily be calculated using the returns of this index. There are, however, a few drawbacks, and these are related to the construction of these indices. So specifically, there are some constraints that the index provider does use which, in our view, can blur the lines between passive and active decisions when it comes to index construction and can also detract from the alignment of objectives and style that I just boasted about. On the right-hand side, to illustrate this, we’ve shown the result of one such constraint that can be problematic and that’s that the MSCI Minimum Volatility Indices require the sector weights in its index to be plus or minus 5% as compared to the broad index. And so, in this example, you can see quite clearly one might wonder if a high and forced weight in the technology sector is truly an accurate representation of a minimum volatility portfolio. Finally, in terms of those characteristics of a valid benchmark, this benchmark may or may not meet those appropriate and accountable requirements. However, we would note it’s very important to consider that some investment managers specifically design their low volatility strategy to be measured relative to these indices. So in that case, these requirements would all actually be met when it comes to a valid benchmark. So the third benchmark we’ll cover today is one that blends the returns of the broad, cap-weighted index with the returns of cash. In terms of benefits, this index can be quite helpful in many regards. We’ve listed three here for you today. The first is that this benchmark is reasonably well aligned with the objective of a low volatility strategy. The second is that it can be customized to the manager’s targeted level of volatility reduction. And finally, similar to the two benchmarks that I’ve just discussed, a top-level portfolio performance comparison can easily be calculated using the returns of this index. The drawbacks, however, there is one in particular that sticks out, which is that using a benchmark that includes this cash drag might conflict with an investor’s return expectations when it comes to their equity component of their portfolio. On the right-hand side, to illustrate this benchmark’s effectiveness, what we’re showing here is the 10-year return volatility and Sharpe ratio metrics for the MSCI World Minimum Volatility Index, so using that once again as an imperfect proxy of the low volatility style, and comparing this to this blended cash benchmark. So, as you can see here, this blended cash benchmark seems to provide a pretty reasonable comparison for a strategy such as low vol. that’s targeting an equity-like return over time with this lower level of absolute risk. Finally, in terms of the characteristics of a valid benchmark, this benchmark may not meet the accountable requirements, so another thing to investigate if you’re seeking this as your benchmark. The fourth and final benchmark that we’ll cover is the broad, cap-weighted index. But this time around, instead of looking at returns, we’re going to look at risk-adjusted returns as our comparison point. In terms of benefits, this benchmark is quite desirable in our view because it is properly aligned with the objectives and style of a low volatility strategy. And importantly, it measures both the return as well as the risk. In terms of drawbacks, there are two important ones to consider. First, unlike the other benchmarks that we’ve discussed so far, this risk-adjusted measure cannot be blended with traditional return-based benchmarks to calculate that top-level total portfolio performance comparison. The second is that it’s, of course, a little bit more of a complex measure and so it might require some additional discussion and education with investment committee members. On the right-hand side, to illustrate the use of this benchmark and its effectiveness, what we’re looking at here is through the same lens that we’ve just reviewed for the cash benchmark. However, in this case, we’re going to bypass those return figures in favour of assessing whether or not outperformance was achieved from a risk-adjusted perspective using the Sharpe ratio. Finally, in terms of those characteristics of a valid benchmark, this benchmark may or may not meet the accountable requirement. However, similar to the Minimum Volatility Index, we do actually see managers specifically design their low volatility strategies with this benchmark as the reference point, in which case, we would argue that all of these requirements for a valid benchmark would be met. So to summarize this portion, there is, unfortunately, no perfect answer that applies to every investor or every situation when it comes to selecting a benchmark for a low volatility strategy. However, we believe there are four key questions that investors can ask to help determine a benchmark or perhaps benchmarks that could be most insightful, depending on their specific circumstances. So the first question is why have you allocated to a low volatility strategy? If risk is an important part of the decision to invest in a low volatility strategy, we would argue that it should also be an important part of your performance measurement as well. When it comes to the second point here, what’s your time horizon? And can you stomach periods of underperformance over the short term? So if the answer is no, then perhaps a minimum volatility index might be helpful to help reduce this tracking error over those shorter time frames. Third, what is the size of the allocation? And so if it’s quite a small allocation to low volatility within the broader portfolio, we would argue that the end decision of which benchmark you select for low vol. is perhaps not as important as if the component of your portfolio is a much more meaningful size. And finally, does your strategy resemble the benchmark? This is a critical part of the process, so we would urge you to assess and ensure that there is proper alignment between the objective and the constraints that are used in your low volatility strategy and the objective and constraints used in the benchmark that you’re seeking. So with that in mind, the next part of our presentation will elaborate further on a topic that I’ve hinted at a little bit throughout this evaluation of the different benchmarks, and that’s the challenges that are associated with benchmarking these strategies at the total portfolio level. And so for that, I will turn it over to Erik to cover this section for us.
Okay. Perfect. Thanks, Katherine. So given that low volatility strategies are generally a small piece of a much larger pool of assets, we’ll now switch gears a little bit to talk about the use of these strategies in the context of a broader multi-asset portfolio.First off, it’s important to note that there are many reasons why an investor could choose to use low volatility equities in their portfolio, whether it’s to reduce that overall risk in the portfolio or to be able to reallocate that risk elsewhere. However, in this example, we look at a scenario where an investor is adding low volatility equities to be able to take on more equity exposure overall in their portfolio. So beginning with a traditional 60/40 portfolio in Portfolio A, low volatility equities are added to Portfolio B in order to increase that equity weight within the portfolio to 75% while generally maintaining their expected risk and return profiles, as was the case in Portfolio A. In this scenario, we’ve also blended low volatility equities with traditional equities, which is an approach we’ve seen many investors take when incorporating these strategies, given some of the diversification benefits which we’ll touch on shortly in the presentation here. But to look at this scenario and compare how these two portfolios have done on the following page, we can see the performance over the past two years for these two hypothetical portfolios here. As we’ve discussed and as Paul mentioned previously, the past two years have been one of the most challenging periods of performance for low volatility equities versus those broader equity markets. However, we find here that Portfolio B, which incorporates those low volatility equities, would have actually outperformed Portfolio A given its higher weight to the equity markets more generally at 75% during a time in the equity markets when equity markets were recovering quite rapidly from the pandemic environment as we know. So, from this perspective, just comparing Portfolio A to Portfolio B, we could conclude that the decision to move into low volatility equities has been a beneficial one. However, although Portfolio B did outperform Portfolio A in this example, if we take that a step further and look at how Portfolio B would have performed versus a revised benchmark consisting of 75% broad market equities, which matches that new asset mix of Portfolio B, we see significant underperformance during this same period, thereby painting a much different picture regarding the outcome of the decision to move from Portfolio A to Portfolio B. And really what this goes to show is that conclusions of success can vary pretty significantly depending on the benchmark being used, and it’s another reason why it’s important to evaluate these decisions through multiple lenses and to choose a benchmark that’s aligned with the intention of the strategy more specifically that’s being selected within the portfolio. However, so with all that said, despite the challenging topic of evaluating these strategies that we’ve discussed through this presentation, we do find significant benefits to incorporating these strategies into multi-asset portfolios. So from a risk and return perspective, our long-term forecast shown here for low volatility equities typically include a very slight reduction in return versus traditional equity allocations along with a meaningful reduction in risk metrics, so roughly a 25% less volatility expected as well as 35% less downside risk is expected, which becomes very important in market environments like we’re in today as equity markets have declined so far year to date pretty meaningfully. This risk reduction and downside captures a big part of why we see a similar return profile over the long term for these strategies despite lagging in very strong markets like we saw over the prior two years as the pandemic was in its early stages of recovery there. And then in addition, I’d say that this risk reduction is consistent with the historical experience that we can see on the right-hand side of this page. So not only has the volatility been consistently lower versus broader markets, but another important feature is the low correlation in the bottom right-hand chart here versus traditional equity allocations. So this provides really good diversification properties and it’s another reason why we’ve seen many investors blend their low volatility equity strategies with another equity strategy sort of as a style offset within their portfolio, rather than replacing that allocation altogether within their portfolio for low volatility equities. So since there are so many reasons for using these strategies, the final piece of the puzzle that we wanted to touch on today is with regards to the investment policy statement. We would say regardless of what benchmark is being used, or the reason behind that selection, we do recommend that these decisions are clearly outlined within your investment policy statement. Best practices include documenting why these strategies have been incorporated, how they might be expected to return or to perform in different environments, and ultimately how the performance will be monitored and over what time periods. As we’ve spoken about with the high degree of tracking error, the time period is very important to evaluate these strategies to ensure you’re capturing that longer-term horizon. I should note that these are just a few examples that we’ve seen while working with our clients and investors. We’re always happy to provide input on these documents when allocations are being considered, so please feel free to reach out to any of your representatives. So finally, lastly, I know we’ve touched on a lot throughout the presentation, it’s clear that there are many different factors to consider with regards to incorporating and monitoring these strategies within a broader multi-asset portfolio. Before I pass it back to Paul, we’d like to shift gears a little bit just to focus finally on the poll results where we can see a lot of these themes highlighted. So if we look at that first question of why have you invested in a low volatility equities strategy, there’s a couple themes that really come out, the first being that there’s a number of different reasons to invest. We can see those top three answers: to reduce risk; to redistribute risk; and also as a complement to other strategies are really the three most prolific answers there. Interestingly, we see that none of the votes have gone towards low volatility equities being that sole equity allocation, which is, I would say, consistent with what we’ve seen more broadly within our client portfolios as well given those diversification properties that low volatility equities have when blending with other strategies. And then interestingly also, 18% have not yet invested in a low volatility equity strategy there. So the second question, if you have invested in a low volatility equity strategy, how do you benchmark it? Here, again, a bit of a mix of answers, but 38% saying the cap-weighted index focused on return, so that is that broader index and, as Katherine talked about, there are some tracking error differences there that need to be considered. Interestingly, second there would be the minimum volatility index, another one that we’ve mentioned throughout the presentation, but I think what this goes to show is just the differences and the differences in approach as well as the differences in approaches by investment managers. It’s really important to understand what actually the strategies are focused on and how that can then be incorporated into the benchmarking for that specific strategy. So, with that, maybe I’ll pause. I’ll hand it back over to Paul to round out the discussion today before we open it up to Q&A.
All right. Well, thanks very much, Erik, and thanks, Katherine. Just a reminder that you can ask questions at the bottom of the screen, so please do, and we’re going to get to those in just a moment.Before we do, they say there’s no such thing as a free lunch and we’re not going to make you sit through a pitch for a timeshare, but we are going to take just a moment and talk about a couple low volatility strategies here that we’ve launched recently. We have been managing low volatility strategies since 2011, so more than 10 years now. We began with Canadian equities and have rounded out our suite over time. A little over a year ago now, we added an emerging market equity low volatility strategy. This is managed by the same team using the same process as the other low vol. strategies we’ve launched to date. Emerging markets are generally seen as being less efficient markets than developed, and our research shows that that is the case as it relates to low vol. as well and that historically, these strategies would have been able to generate similar returns to cap-weighted indexes but with a meaningful reduction in risk. Just to look at what the portfolio looks like, this gives you a bit of a flavour on the right-hand side of the sector makeup and I think this is probably what you would expect: a lot less exposure to some of the big Chinese internet companies and the big global technology companies; more exposure to consumer staples, telecom businesses, health care businesses, of which there are quite a few listed in emerging markets. In terms of geographic coverage, this strategy will tend to have, over time, less exposure to the Chinese market, which tends to be more volatile. The other strategy we wanted to mention today takes a different approach to our—then the approach taken by our other low vol. strategies. More than 2.5 years ago now, we launched the RBC Fundamental Minimum Volatility Canadian Equity Fund. The name is a mouthful, so we’ve taken to calling it Fund Vol. around here. As the name suggests, this is managed using a fundamental approach by the same team that manages our Canadian Equity Value Fund which many of you will be familiar with. We’ve also taken a different approach to benchmarking this strategy and managing it, so it is managed against the MSCI Minimum Volatility Index, which is its benchmark, and I think will appeal to a lot of people who prefer that approach to benchmarking as well as perhaps prefer a more fundamental approach to portfolio management. The track record is now 2.5 years old and we’ve been very pleased so far with its performance, both relative to that benchmark as relative to the cap-weighted indices. And I should have said the same thing for the EM strategy as well. We’ve been very pleased with its performance so far. And so, of course, we’d be happy to talk to anyone interested in these strategies after the webinar is over. So that brings us to the end of our formal presentation. As mentioned, we’re going to take a few moments now to answer questions. And so we’ve got a couple coming in here and perhaps I’ll ask Katherine to take the first one. The question is what’s the most common reason your clients have invested in low volatility strategies?
Sure. So two use cases come to mind most often to me. The first is we quite often see it as a style offset in a full multi-asset portfolio.
Institutional Portfolio Manager
It’s pared quite frequently with maybe more concentrated fundamentally managed equity strategies, so having that style offset, most find that quite nice.The second reason that we see, which is also quite popular, is to reduce risk on the equity side of the portfolio in favour of freeing up some of the risk budget at the total portfolio level to increase the risk on the fixed income side. And so, some do prefer having that more calculated, measured, perhaps including things on the fixed income side such as mortgages or emerging market debt, really increasing risk there while reducing the risk on the equity side. We do also see a third use case. This is a little less frequent, but some large pension plans that maybe don’t have the risk budget to have a full or large allocation to equities as an asset class and so we worked with one client recently where they had a 5% allocation to equities and by shifting from a concentrated strategy to a low volatility strategy they were able to increase their allocation from 5% to 10%. So just another use case there that we definitely see happen from time to time.
Thanks, Katherine. So another question we received, have you seen investors leaving these strategies as a result of performance over the last couple of years?Erik, do you maybe want to take that one?
Yeah, sure. I can take a crack at that. I’d say the short answer is no, we have not seen investors leaving these strategies.
Institutional Portfolio Manager
We’ve certainly see a lot and having a lot more conversations with investors about the performance of the strategies, and part of that goes back to something that we highlighted in I think one of our first papers at the beginning of the pandemic, is just that the dispersion that we saw across the low volatility peer groupings throughout 2020 in terms of their performance.We saw such a wide dispersion as every low volatility strategy is constructed slightly differently, and that led to a lot of questions from clients and investors trying to understand exactly how the strategies are being constructed and why there’s these broad-based differences. Secondly, I think a big part of the reason why we haven’t seen a lot of investors leave the strategies is because I’d say that the environment, or the kind of performance that we saw throughout the past couple of years, has been consistent with expectations. So even though the low volatility strategies have lagged those broader market indices quite substantially in 2020 and 2021, there’s a reason for that. And the reason for that is that the broad market indices were performing very well during those periods and the low volatility strategies in those environments wouldn’t necessarily be expected to keep up or have the same upside capture as those broad market indexes. However, as we’ve seen so far year to date, and as Paul mentioned, this most recent kind of volatility that we’ve seen in the market has been a lot more typical of a downturn in the market environment. As a result, we’ve seen low volatility equities really kind of earn their keep in this environment and it’s good to see it kind of come full circle now. So maybe I’ll leave it at that. I don’t know if anyone has anything else to add to that.
No I think that’s right, Erik. I’ve actually been quite pleased as well that 20% behind an index is a lot and perhaps maybe not everybody that invested in these strategies realized that’s what they were signing up for at the time.That was the most extreme period of underperformance in the history of these strategies but it was great to see that people generally were investing in them for risk-related reasons and stuck through and their patience has now been validated. One more question is can you comment on the relationship between low volatility equity strategies and interest rates, which I think is actually a great question and that’s something that we’ve heard a lot over the years. Historically, we have seen these strategies generally outperform in periods when interest rates were falling and that’s led to people wondering if maybe that’s the reason why they’ve done so well over the last 30 years, or would have done so well, and maybe in a different interest rate environment, they would not perform quite as well. And these strategies do tend to have higher allocations to more interest rate sensitive sectors or typically more interest rate sensitive sectors, things like utilities or phone companies and that sort of thing. What we’ve seen this time around is actually quite different. As interest rates have risen significantly over the last six months, the strategies have done quite well. And I don’t know that that necessarily means that some of the traditionally interest rate sensitive sectors won’t be again in the future, but the biggest or the bigger anyway impact that rates have had on the market has been in the first place to the valuations of tech stocks or stocks where the cash flows were many years in the future. Those were the stocks that appeared to be hurt the most initially by the increase in rates. And then more recently, as the market has interpreted that this increase in rates may well lead to a recession, it’s been the more economically sensitive stocks that have been hurt the most. So in spite of this increase in rates, which was a fear for many for a long time, the strategies have nonetheless more recently done what they’re supposed to. So I don’t see any more questions at the time, so we’re getting towards the end of our allotted time anyway, so why don’t we wrap it up here. We want to thank everyone for joining us today. We hope that you found the discussion to be informative. If you would, please take a moment to rate the webinar at the bottom of the screen, or provide any feedback that you have. We’d love to receive it. We do take it seriously and we try and make these presentations better. You can also find more information on low vol. strategies on our website, including the two recently published papers that we mentioned earlier. We want to thank you for your time and we look forward to future conversations with all of you. Thanks very much.
Thank you for watching!
Read more about low volatility equity strategies at https://institutional.phn.com/lowvolatilityequity