Abstract

Risk-reduction strategies have gained attention in recent times. Among these, low-volatility strategies have enjoyed significant inflows, making them one of the most sought-after smart beta strategies. The so-called low-vol anomaly (empirical outperformance of low-volatility equities versus their higher-volatility peers) has been well documented over the past 10 years in academia as well as among market participants. This article demonstrates how to implement a minimum variance portfolio using country/sector exchange-traded funds (ETFs). The analysis shows that a minimum-variance methodology based on allocations to country and sector ETFs may allow for the capture of a significant portion of the low-vol risk premia on developed markets as well as emerging markets. <b>TOPICS:</b>Exchange-traded funds and applications, analysis of individual factors/risk premia, emerging

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.