RT Journal Article
SR Electronic
T1 Low- (Economic) Volatility Investing
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 75
OP 85
DO 10.3905/jwm.2012.15.3.075
VO 15
IS 3
A1 James Chong
A1 G. Michael Phillips
YR 2012
UL https://pm-research.com/content/15/3/75.abstract
AB Low-volatility investing has recently witnessed a surge in media coverage and experienced renewed interest in academic research. We assess various low- (economic) volatility portfolios against the S&P 500 Index, S&P 500 Low Volatility Index, and Fama–French-inspired U.S. Core Equity 1 Portfolio. Our portfolios outperformed the benchmarks, for the whole period as well as subperiods, and even more so when economic variables and criteria were incorporated with the down-market beta. This study shed further light on the efficacy of economic factors—that by constructing a low-volatility portfolio with economic factors would enhance a portfolio’s risk–reward ratio over a portfolio constructed purely with return-based measures.TOPICS: Analysis of individual factors/risk premia, portfolio construction, performance measurement