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“Enhancing a low volatility strategy”

Whitepaper: Enhancing a low volatility strategy is particularly helpful when generic low volatility is expensive

Frequently the question comes up if low-volatility is ‘expensive’, measured by multiples such as P/E and P/B ratios. In this note, we address this question using an extended 82-year sample period for the US stock market. We find that a generic low volatility strategy sometimes exhibits value (1990s) and sometimes growth (1930s) characteristics. An enhanced low-volatility strategy, which includes valuation and sentiment factors, yields a much better return/risk ratio than a generic low-volatility strategy and is necessary to achieve superior long-term returns.

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Pim van Vliet, PhD

Senior Portfolio Manager
Pim van Vliet, PhD