A low volatility portfolio aims to exploit the fact that, in the long run, low-risk stocks yield higher risk-adjusted returns than higher-risk stocks. But the low volatility portfolio’s lower beta – via the allocation effect – may drag down returns at times. We dissect the performance into...

The low volatility factor in conjunction with the style factors Quality, Value and Momentum, has empirically proven to be able to moderate market risks and improve a portfolio’s overall risk-return profile. By integrating ESG into such a factor portfolio, future risks may be mitigated. We...

While most investors are open to equity exposure in a low volatility market, they tend to shy away as volatility increases. To counteract equity volatility, asset managers have traditionally added perceived ‘safe haven’ assets like government bonds to the portfolio. But this strategy has...