• Resources
  • Blog
  • Journalists
  • Log In
  • Sign Up
  • Data Privacy
  • Send a Release
Cision PR Newswire: news distribution, targeting and monitoring home
  • News
  • Products
    • Overview
    • Distribution by PR Newswire
    • Cision Communications Cloud®
    • Cision IR
    • All Products
  • Contact
    • General Inquiries
    • Request a Demo
    • Editorial Bureaus
    • Partnerships
    • Media Inquiries
    • Worldwide Offices

 

When typing in this field, a list of search results will appear and be automatically updated as you type.

Searching for your content...

No results found. Please change your search terms and try again.
  • News in Focus
      • Browse News Releases

      • All News Releases
      • All Public Company
      • English-only
      • News Releases Overview

      • Multimedia Gallery

      • All Multimedia
      • All Photos
      • All Videos
      • Multimedia Gallery Overview

      • Trending Topics

      • All Trending Topics
  • Business & Money
      • Auto & Transportation

      • All Automotive & Transportation
      • Aerospace, Defense
      • Air Freight
      • Airlines & Aviation
      • Automotive
      • Maritime & Shipbuilding
      • Railroads and Intermodal Transportation
      • Supply Chain/Logistics
      • Transportation, Trucking & Railroad
      • Travel
      • Trucking and Road Transportation
      • Auto & Transportation Overview

      • View All Auto & Transportation

      • Business Technology

      • All Business Technology
      • Blockchain
      • Broadcast Tech
      • Computer & Electronics
      • Computer Hardware
      • Computer Software
      • Data Analytics
      • Electronic Commerce
      • Electronic Components
      • Electronic Design Automation
      • Financial Technology
      • High Tech Security
      • Internet Technology
      • Nanotechnology
      • Networks
      • Peripherals
      • Semiconductors
      • Business Technology Overview

      • View All Business Technology

      • Entertain­ment & Media

      • All Entertain­ment & Media
      • Advertising
      • Art
      • Books
      • Entertainment
      • Film and Motion Picture
      • Magazines
      • Music
      • Publishing & Information Services
      • Radio & Podcast
      • Television
      • Entertain­ment & Media Overview

      • View All Entertain­ment & Media

      • Financial Services & Investing

      • All Financial Services & Investing
      • Accounting News & Issues
      • Acquisitions, Mergers and Takeovers
      • Banking & Financial Services
      • Bankruptcy
      • Bond & Stock Ratings
      • Conference Call Announcements
      • Contracts
      • Cryptocurrency
      • Dividends
      • Earnings
      • Earnings Forecasts & Projections
      • Financing Agreements
      • Insurance
      • Investments Opinions
      • Joint Ventures
      • Mutual Funds
      • Private Placement
      • Real Estate
      • Restructuring & Recapitalization
      • Sales Reports
      • Shareholder Activism
      • Shareholder Meetings
      • Stock Offering
      • Stock Split
      • Venture Capital
      • Financial Services & Investing Overview

      • View All Financial Services & Investing

      • General Business

      • All General Business
      • Awards
      • Commercial Real Estate
      • Corporate Expansion
      • Earnings
      • Environmental, Social and Governance (ESG)
      • Human Resource & Workforce Management
      • Licensing
      • New Products & Services
      • Obituaries
      • Outsourcing Businesses
      • Overseas Real Estate (non-US)
      • Personnel Announcements
      • Real Estate Transactions
      • Residential Real Estate
      • Small Business Services
      • Socially Responsible Investing
      • Surveys, Polls and Research
      • Trade Show News
      • General Business Overview

      • View All General Business

  • Science & Tech
      • Consumer Technology

      • All Consumer Technology
      • Artificial Intelligence
      • Blockchain
      • Cloud Computing/Internet of Things
      • Computer Electronics
      • Computer Hardware
      • Computer Software
      • Consumer Electronics
      • Cryptocurrency
      • Data Analytics
      • Electronic Commerce
      • Electronic Gaming
      • Financial Technology
      • Mobile Entertainment
      • Multimedia & Internet
      • Peripherals
      • Social Media
      • STEM (Science, Tech, Engineering, Math)
      • Supply Chain/Logistics
      • Wireless Communications
      • Consumer Technology Overview

      • View All Consumer Technology

      • Energy & Natural Resources

      • All Energy
      • Alternative Energies
      • Chemical
      • Electrical Utilities
      • Gas
      • General Manufacturing
      • Mining
      • Mining & Metals
      • Oil & Energy
      • Oil and Gas Discoveries
      • Utilities
      • Water Utilities
      • Energy & Natural Resources Overview

      • View All Energy & Natural Resources

      • Environ­ment

      • All Environ­ment
      • Conservation & Recycling
      • Environmental Issues
      • Environmental Policy
      • Environmental Products & Services
      • Green Technology
      • Natural Disasters
      • Environ­ment Overview

      • View All Environ­ment

      • Heavy Industry & Manufacturing

      • All Heavy Industry & Manufacturing
      • Aerospace & Defense
      • Agriculture
      • Chemical
      • Construction & Building
      • General Manufacturing
      • HVAC (Heating, Ventilation and Air-Conditioning)
      • Machinery
      • Machine Tools, Metalworking and Metallurgy
      • Mining
      • Mining & Metals
      • Paper, Forest Products & Containers
      • Precious Metals
      • Textiles
      • Tobacco
      • Heavy Industry & Manufacturing Overview

      • View All Heavy Industry & Manufacturing

      • Telecomm­unications

      • All Telecomm­unications
      • Carriers and Services
      • Mobile Entertainment
      • Networks
      • Peripherals
      • Telecommunications Equipment
      • Telecommunications Industry
      • VoIP (Voice over Internet Protocol)
      • Wireless Communications
      • Telecomm­unications Overview

      • View All Telecomm­unications

  • Lifestyle & Health
      • Consumer Products & Retail

      • All Consumer Products & Retail
      • Animals & Pets
      • Beers, Wines and Spirits
      • Beverages
      • Bridal Services
      • Cannabis
      • Cosmetics and Personal Care
      • Fashion
      • Food & Beverages
      • Furniture and Furnishings
      • Home Improvement
      • Household, Consumer & Cosmetics
      • Household Products
      • Jewelry
      • Non-Alcoholic Beverages
      • Office Products
      • Organic Food
      • Product Recalls
      • Restaurants
      • Retail
      • Supermarkets
      • Toys
      • Consumer Products & Retail Overview

      • View All Consumer Products & Retail

      • Entertain­ment & Media

      • All Entertain­ment & Media
      • Advertising
      • Art
      • Books
      • Entertainment
      • Film and Motion Picture
      • Magazines
      • Music
      • Publishing & Information Services
      • Radio & Podcast
      • Television
      • Entertain­ment & Media Overview

      • View All Entertain­ment & Media

      • Health

      • All Health
      • Biometrics
      • Biotechnology
      • Clinical Trials & Medical Discoveries
      • Dentistry
      • FDA Approval
      • Fitness/Wellness
      • Health Care & Hospitals
      • Health Insurance
      • Infection Control
      • International Medical Approval
      • Medical Equipment
      • Medical Pharmaceuticals
      • Mental Health
      • Pharmaceuticals
      • Supplementary Medicine
      • Health Overview

      • View All Health

      • Sports

      • All Sports
      • General Sports
      • Outdoors, Camping & Hiking
      • Sporting Events
      • Sports Equipment & Accessories
      • Sports Overview

      • View All Sports

      • Travel

      • All Travel
      • Amusement Parks and Tourist Attractions
      • Gambling & Casinos
      • Hotels and Resorts
      • Leisure & Tourism
      • Outdoors, Camping & Hiking
      • Passenger Aviation
      • Travel Industry
      • Travel Overview

      • View All Travel

  • Policy & Public Interest
      • Policy & Public Interest

      • All Policy & Public Interest
      • Advocacy Group Opinion
      • Animal Welfare
      • Congressional & Presidential Campaigns
      • Corporate Social Responsibility
      • Domestic Policy
      • Economic News, Trends, Analysis
      • Education
      • Environmental
      • European Government
      • FDA Approval
      • Federal and State Legislation
      • Federal Executive Branch & Agency
      • Foreign Policy & International Affairs
      • Homeland Security
      • Labor & Union
      • Legal Issues
      • Natural Disasters
      • Not For Profit
      • Patent Law
      • Public Safety
      • Trade Policy
      • U.S. State Policy
      • Policy & Public Interest Overview

      • View All Policy & Public Interest

  • People & Culture
      • People & Culture

      • All People & Culture
      • Aboriginal, First Nations & Native American
      • African American
      • Asian American
      • Children
      • Diversity, Equity & Inclusion
      • Hispanic
      • Lesbian, Gay & Bisexual
      • Men's Interest
      • People with Disabilities
      • Religion
      • Senior Citizens
      • Veterans
      • Women
      • People & Culture Overview

      • View All People & Culture

      • In-Language News

      • español
      • português
      • Česko
      • Danmark
      • Deutschland
      • España
      • France
      • Italia
      • Nederland
      • Norge
      • Polska
      • Portugal
      • Россия
      • Slovensko
      • Suomi
      • Sverige
  • Overview
  • Distribution by PR Newswire
  • Cision Communications Cloud®
  • Cision IR
  • All Products
  • General Inquiries
  • Request a Demo
  • Editorial Bureaus
  • Partnerships
  • Media Inquiries
  • Worldwide Offices
  • PR Newswire: news distribution, targeting and monitoring
  • Send a Release
    • ALL CONTACT INFO
    • Contact Us

      888-776-0942
      from 8 AM - 10 PM ET

  • Send a Release
  • Sign Up
  • Log In
  • Resources
  • Blog
  • Journalists
  • RSS
  • GDPR
  • News in Focus
    • Browse All News
    • Multimedia Gallery
    • Trending Topics
  • Business & Money
    • Auto & Transportation
    • Business Technology
    • Entertain­ment & Media
    • Financial Services & Investing
    • General Business
  • Science & Tech
    • Consumer Technology
    • Energy & Natural Resources
    • Environ­ment
    • Heavy Industry & Manufacturing
    • Telecomm­unications
  • Lifestyle & Health
    • Consumer Products & Retail
    • Entertain­ment & Media
    • Health
    • Sports
    • Travel
  • Policy & Public Interest
  • People & Culture
    • People & Culture
  • Send a Release
  • Sign Up
  • Log In
  • Resources
  • Blog
  • Journalists
  • RSS
  • GDPR
  • Overview
  • Distribution by PR Newswire
  • Cision Communications Cloud®
  • Cision IR
  • All Products
  • Send a Release
  • Sign Up
  • Log In
  • Resources
  • Blog
  • Journalists
  • RSS
  • GDPR
  • General Inquiries
  • Request a Demo
  • Editorial Bureaus
  • Partnerships
  • Media Inquiries
  • Worldwide Offices
  • Send a Release
  • Sign Up
  • Log In
  • Resources
  • Blog
  • Journalists
  • RSS
  • GDPR

When Volatility Rises, So Have Active Management Results

The Royce Funds

News provided by

The Royce Funds

Jan 16, 2015, 03:00 ET

Share this article

Share this article


NEW YORK, Jan. 16, 2015 /PRNewswire/ -- For many investors, volatility is often synonymous with risk. We as value investors (and risk managers), on the other hand, have always viewed volatility as a crucial component of active stock selection; as Warren Buffett said, "Look at market fluctuations as your friend rather than your enemy; profit from folly rather than participate in it."

Monthly Rolling 36-Month Standard Deviation. Russell 2000 from 12/31/81 to 9/30/14.
Monthly Rolling 36-Month Standard Deviation. Russell 2000 from 12/31/81 to 9/30/14.

In our latest Research piece, we explore the relationship between low- and high-volatility environments and the relative performance of active managers versus their respective benchmarks during these periods. This deep dive is especially important in a market that has recently seen more volatility and its largest correction in almost three years. Read our full research report to learn about our findings.

 "The past five years have been marked by the rare combination of a remarkable rebound in domestic equity markets and a low-volatility equity environment. This combination has proven to be difficult for domestic equity managers, as over 70% of them across all capitalization and style categories failed to deliver returns higher than their respective benchmarks." This is the conclusion of the most recent publication of the S&P Dow Jones Indices report, "S&P Index Versus Active" (SPIVA). The piece stoked our curiosity about the relationship between volatility, the recent relative performance of active managers, and the indexes they for the most part have struggled to beat.

Our commitment to the core principle of embracing volatility made us eager to test the hypothesis of the SPIVA Scorecard. We ran our own study focused on the small-cap space to determine what, if any, relationship exists between volatility and outperformance among active small-cap managers. Although there are many measures of volatility, we chose in our study to use standard deviation, looking at monthly rolling 12-, 36-, and 60-month standard deviations from the inception of the Russell 2000 Index on 12/31/78 through 9/30/14. This gave us an enormous number of data points spanning more than 35 years -- 418 for the 12-month period, 394 for the 36-month period, and 370 for the 60-month period.

Monthly Rolling 36-Month Standard Deviation
Russell 2000 from 12/31/81 to 9/30/14

Photo - http://photos.prnewswire.com/prnh/20150116/169654-INFO

We began by sorting the annual standard deviations from highest to lowest and divided them into quintiles. For each monthly rolling period in each quintile we looked at the corresponding outperformance of the active small-cap manager versus the Russell 2000.

To read the rest of the report and learn about our findings, view our complete whitepaper now.

Important Disclosure Information

This material is not authorized for distribution unless preceded or accompanied by a current prospectus. Please read the prospectus carefully before investing or sending money. Royce Pennsylvania Mutual Fund invests primarily in small-cap stocks, which may involve considerably more risk than investing in larger-cap stocks. (Please see "Primary Risks for Fund Investors" in the prospectus.) The Fund's broadly diversified portfolio does not ensure a profit or guarantee against loss. The Fund may invest up to 25% of its net assets in foreign securities (measured at the time of investment), which may involve political, economic, currency, and other risks not encountered in U.S. investments. (Please see "Investing in Foreign Securities" in the prospectus.) Standard deviation is a statistical measure within which a fund's total returns have varied over time. The greater the standard deviation, the greater a fund's volatility. Please read the prospectus for a more complete discussion of risk. Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group. The Russell 2000 is an unmanaged, capitalization-weighted index of domestic small-cap stocks. It measures the performance of the 2,000 smallest publicly traded U.S. companies in the Russell 3000 index. The performance of an index does not represent exactly any particular investment, as you cannot invest directly in an index.

Logo - http://photos.prnewswire.com/prnh/20150116/169653LOGO

SOURCE The Royce Funds

Related Links

http://www.roycefunds.com

Modal title

Contact Cision

  • Cision Distribution 888-776-0942
    from 8 AM - 9 PM ET

  • Chat with an Expert
  • General Inquiries
  • Request a Demo
  • Editorial Bureaus
  • Partnerships
  • Media Inquiries
  • Worldwide Offices

Products

  • Cision Communication Cloud®
  • For Marketers
  • For Public Relations
  • For IR & Compliance
  • For Agency
  • For Small Business
  • All Products

About

  • About PR Newswire
  • About Cision
  • Become a Publishing Partner
  • Become a Channel Partner
  • Careers
  • COVID-19 Resources
  • Accessibility Statement
  • Asia
  • Brazil
  • Canada
  • Czech
  • Denmark
  • Finland
  • France
  • Germany
  • India
  • Israel
  • Italy
  • Mexico
  • Middle East
  • Netherlands
  • Norway
  • Poland
  • Portugal
  • Russia
  • Slovakia
  • Spain
  • Sweden
  • United Kingdom

My Services

  • All New Releases
  • Online Member Center
  • ProfNet

Contact Cision

Products

About

My Services
  • All News Releases
  • Online Member Center
  • ProfNet
Cision Distribution Helpline
888-776-0942
  • Terms of Use
  • Privacy Policy
  • Information Security Policy
  • Site Map
  • RSS
  • Cookie Settings
Copyright © 2022 Cision US Inc.