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.