Low vol strategies
can go global

S&P Dow Jones Indices’ researchers take a closer look at the long-term effectiveness of low volatility strategies in this paper.

Aye Soe, S&P’s director of index research and design, analyses the low-volatility effect in the US equity market, with a focus on the common properties of various low-volatility strategies.

Drawing from the extensive academic literature that exists on the topic, researchers examine the two major approaches to constructing low-volatility portfolios and apply them to the US equity market: mean variance optimization-based versus the rankings-based approaches.

The analysis shows that both approaches are equally effective in reducing portfolio volatility over a long-term investment horizon.

The analysis is then extended to international and emerging markets.

The findings confirm that the low-volatility effect is not unique to US equity markets but is present on a global scale.

Click here to read The Low Volatility Effect: A Comprehensive Look.