Abstract
In this article, the authors investigate the performance of a lowvolatility portfolio. Such a portfolio invests in lower- variance and defensive stocks that tend to have lower beta, making them less inclined to follow the market in a downswing, at a potential cost of slight underperformance during strong market upswings. In the past, and over the long run, low-volatility portfolios have shown the tendency to outperform the broad market on a riskadjusted basis. Evidence of this tendency is well documented, showing historic persistence and global applicability. <b>TOPICS:</b>Style investing, equity portfolio management, analysis of individual factors/risk premia
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