An Investor's Low Volatility Strategy

Journal of Index Investing, vol. 3, no. 4, Spring 2013

Posted: 8 Feb 2017

See all articles by Feifei Li

Feifei Li

Research Affiliates, LLC

Li-Lan Kuo

Research Affiliates, LLC

Date Written: March 1, 2013

Abstract

Investors are displaying a fast-rising appetite for low volatility strategies, given growing academic and empirical evidence of consistent outperformance over the markets from which they are drawn. However, many existing low volatile strategies are optimized, creating biases toward smaller cap stocks and over-concentration in a small number of sectors and/or countries. Instead, we develop a heuristic-based design that leads to a practical portfolio with a superior Sharpe ratio as well as more investor- friendly attributes, including a lower turnover rate, higher investment capacity, relative transparency, and broader market representativeness.

Suggested Citation

Li, Feifei and KUO, LI-LAN, An Investor's Low Volatility Strategy (March 1, 2013). Journal of Index Investing, vol. 3, no. 4, Spring 2013, Available at SSRN: https://ssrn.com/abstract=2913307

Feifei Li (Contact Author)

Research Affiliates, LLC ( email )

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LI-LAN KUO

Research Affiliates, LLC ( email )

620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States

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