Mažos investicinės rizikos anomalija : Varšuvos vertybinių popierių biržos atvejis

Abstract

Modern portfolio theory suggests that higher equity volatility investments should lead to higher expected return. However, investors have been drawn to strategies that promise to lower equity portfolio risk and higher return. There are some reasons for that. Firstly, the painful experience of the 2008-2009 market meltdown. Secondly, the stock markets are reaching new highs, so investors seek to protect their portfolios. Investors have to find a substitute for low risk asset classes, because of quantitative easing these asset classes offer negative real return. The article analyses the low investment risk anomaly. Supporters of this anomaly argue that, if investors want to reach better return than market, they don’t need to take more risk, because low risk stocks have a higher return, than high risk stocks. The carried out investigation should aid in determining whether it is worth to take notice to low investment risk strategy. Having performed the analysis of the results of the formed investment portfolio, it was found out that the low investment risk strategy was more efficient in two of three periods of time.