Musings on Low Volatility

Musings on Low Volatility Has minimum volatility minimized volatility in 2020? June 2020. Reading Time: 10 Minutes. Author: Rodolfo Martell. SUMMARYThe Low Volatility strategy failed to protect investors in March and April 2020Industrials & materials generated...

Timing Low Volatility with Factor Valuations

Timing Low Volatility with Factor ValuationsHow Important Are Valuations for Expected Returns? February 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. This research note was originally published at Alpha Architect. Here is the link.SUMMARYFactors can be...

Low Volatility vs Option-Based Strategies

Low Volatility vs Option-Based Strategies Core Equity Alternatives October 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. This research note was originally published by the CAIA Association’s AllAboutAlpha blog. Here is the link.SUMMARYOption-based...

Is Low Vol the New Value?

Is Low Vol the New Value? Same, Same, but Different September 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. This research note was originally published by the Savvy Investor blog. Here is the link.SUMMARYThe Low Volatility factor exhibited significant...

Low Vol Factor: From Obscurity to Stardom

Low Vol Factor: From Obscurity to Stardom Has Low Vol Changed Given the Rise in Popularity? August 2019. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYGiven the popularity of Low Volatility, investors might expect structural shifts in the factor...