Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for June 2020 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for June 2020 (Final)
1st ETF 2nd ETF 3rd ETF

Overview of Low-volatility Investing

| | Posted in: Volatility Effects

What are the essential points from the stream of research on low-volatility investing? In their August 2019 paper entitled "The Volatility Effect Revisited", David Blitz, Pim van Vliet and Guido Baltussen provide an overview of the low-volatility (or as they prefer, low-risk) effect, the empirical finding in stock markets worldwide and within other asset classes that higher risk is not rewarded with higher return. Specifically, they review:

  • Empirical evidence for the effect.
  • Whether other factors, such as value, explain the effect.
  • Key considerations in exploiting the effect.
  • Whether the effect is fading due to market adaptation.

Based on findings and interpretations on low-risk investing published since the 1970s, they conclude that:

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Login
Daily Email Updates
Filter Research
  • Research Categories (select one or more)