Low volatility investing gained immense popularity in the last decade. A proliferation of passive investment vehicles based on this concept attracted more than $70 billion in assets globally as of the end of February 2019.
Explore how a new measure of Green REITs is bringing transparency to ESG in the Real Estate sector
We recently updated our paper asking Is the Low Volatility Anomaly Universal? The alert reader (and we have no other kind) will have guessed that it is. This is an empirical conclusion, but a theoretical digression might help explain why this is so remarkable.
Indices based on factors such as low volatility and quality generally have defensive characteristics. These strategies tend to outperform the broad benchmark in down markets, as previous studies have shown.
S&P Dow Jones Indices, in collaboration with Milliman, has introduced a series of managed risk 2.0 indices that provide core equity strategies with an embedded risk-management feature. The key features of this strategy are the following.