Low-volatility strategies have quickly become the darling of many investors, thanks largely to trauma caused by the bear market that arose from the 2008-2009 financial crisis combined with academic research showing that the low-volatility anomaly exists in equity markets around the globe.
Earlier this week, we took a detailed look at a 2016 study from David Blitz, “The Value of Low Volatility,” which explored whether low volatility was a unique investment factor or if its performance could be explained by other well-known factors (specifically, value). Today we’ll review some additional research on this issue.
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