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Research Note September 2021

Investing in low-volatility - a long-term view

Investing in low-volatility - a long-term view

In a nutshell:

  • Low-volatility strategies deliver significantly higher risk-adjusted returns than the cap-weighted market index over the past nearly one hundred years in the US equity market. 
  • The outperformance of low-volatility portfolios fluctuates over time, but regularly returns to its positive long-term mean. 
  • Low-volatility underperforms during strong bull and recovery periods, so periods of weaker performance can last for years. 
  • Investing in low-volatility requires patience and discipline, but the arguments and historical data remain very compelling. 

The Research Note is currently only available in German.

Read now how low-volatility beats the market in the long run and learn how investing according to the low-volatility approach is less risky and preserves the risk budget.

We would be pleased to send you our entire Research Note by e-mail.

OLZ Quantitative Research Patrick Walker

Dr. Patrick Walker

About the author
OLZ Quantitative Research Cyril Bachelard

Cyril Bachelard

About the author
OLZ CIO Carmine Orlacchio

Carmine Orlacchio

About the author
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