PT  - JOURNAL ARTICLE
AU  - James Chong
AU  - G. Michael Phillips
TI  - Low- (Economic) Volatility Optimization
AID  - 10.3905/jwm.2013.16.3.054
DP  - 2013 Oct 31
TA  - The Journal of Wealth Management
PG  - 54--68
VI  - 16
IP  - 3
4099  - https://pm-research.com/content/16/3/54.short
4100  - https://pm-research.com/content/16/3/54.full
AB  - 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.TOPICS: Analysis of individual factors/risk premia, wealth management, portfolio construction, performance measurement