TY - JOUR T1 - Low- (Economic) Volatility Optimization JF - The Journal of Wealth Management SP - 54 LP - 68 DO - 10.3905/jwm.2013.16.3.054 VL - 16 IS - 3 AU - James Chong AU - G. Michael Phillips Y1 - 2013/10/31 UR - https://pm-research.com/content/16/3/54.abstract N2 - 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 ER -