Why didn’t the Low Vol factor protect to the downside?

The Q1 2020 sell-off left investors asking themselves, “Where should we have invested?” The conventional wisdom is that defensive strategies tend to be best suited to protecting portfolios during market downturns[1]. Defensive factor strategies include Quality and (low) Volatility strategies. However, the COVID-19 downturn presents us with a puzzle: while Quality preformed relatively well, (low) Volatility did not. Why didn’t Volatility protect portfolios when markets were down?

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