Abstract
We analyze the low volatility effect in the U.S equity market with a focus on the common properties of various low volatility strategies. We examine the two major approaches to constructing low volatility portfolios and apply them to the U.S. equity market: mean-variance optimization-based versus the rankings or quantile-based approaches. Our analysis shows that both approaches are equally effective in reducing portfolio volatility over a long-term investment horizon. We then extend our analysis to the international and emerging markets. Our findings confirm that the low volatility effect is not unique to the U.S. equity markets; it is present on a global scale.
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