Abstract
This article evaluates several low-volatility portfolio strategies to identify the return penalty, if any, associated with increased downside safety. The authors compare the S&P 500 Low Volatility Index with standard benchmarks and with portfolios specifically constructed to have low-volatility characteristics. They find that portfolios constructed using low-frequency economic measures for stock screening and portfolio optimization outpaced the S&P Low Volatility Index in absolute and relative terms. The authors conclude with practical suggestions for wealth managers about incorporating low-volatility methods into their practices.
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