RT Journal Article
SR Electronic
T1 Low- (Economic) Volatility Optimization
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 54
OP 68
DO 10.3905/jwm.2013.16.3.054
VO 16
IS 3
A1 James Chong
A1 G. Michael Phillips
YR 2013
UL https://pm-research.com/content/16/3/54.abstract
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