Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
Quiet alpha: Extracting outperformance from Swiss equities with minimum variance. |
| Συγγραφείς: |
Kopp, Antoine1 (AUTHOR), Mogras, Arnaud2 (AUTHOR) |
| Πηγή: |
Journal of Risk Management in Financial Institutions. Spring2026, Vol. 19 Issue 2, p139-167. 29p. |
| Θεματικοί όροι: |
*Portfolio management (Investments), *Stocks (Finance), *Assets (Accounting), *Economic sectors, *Financial services industry |
| Περίληψη: |
This paper presents comprehensive empirical evidence on minimum variance portfolio optimisation applied to the Swiss equity market over a decade-long period 2015–25. Using a robust quantitative framework with semi-annual rebalancing, the authors construct a concentrated portfolio of Swiss equities that significantly outperforms the Swiss Market Index (SMI) and Swiss Performance Index (SPI) across multiple market regimes while maintaining substantially lower volatility. The strategy exhibits exceptional risk-adjusted performance with a Sharpe ratio of 1.53, approximately 3.5 times higher than the SMI's 0.43, while delivering a superior downside protection illustrated by the contained drawdowns in comparison with the indices. The portfolio demonstrates a pronounced defensive tilt toward low-volatility sectors, with approximately 50 per cent allocated to financials (predominantly cantonal banks), industrials and real estate companies. Beyond outperforming passive indices, the minimum variance approach substantially exceeds the cumulative performance of professionally managed Swiss equity funds across the sample period. These results have significant implications for risk-averse investors, wealth managers and institutional allocators seeking capital preservation with competitive returns in concentrated equity markets. The paper's contribution extends the minimum variance literature by providing long-term evidence specifically for the Swiss market and demonstrating that systematic low-volatility strategies exploit persistent market opportunities, especially through the portfolio's dual capacity to serve as a buffer during market drawdowns, experiencing roughly half the decline of benchmark indices during stress periods, while simultaneously capturing substantial upside performance during bull markets, thereby enabling superior long-term compounding through asymmetric return participation. This article is also included in The Business & Management Collection which can be accessed at https://hstalks.com/business/. [ABSTRACT FROM AUTHOR] |
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