@article {Alighanbari21, author = {Mehdi Alighanbari and Stuart Doole and Durga Shankar}, title = {Designing Low-Volatility Strategies}, volume = {7}, number = {3}, pages = {21--33}, year = {2016}, doi = {10.3905/jii.2016.7.3.021}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Since the Global Financial Crisis hit in 2008, low volatility has garnered increased attention from institutional investors. In this article, the authors delve into the practicalities of low-volatility investing, including construction issues, their performance in different market regimes, and the effect of recent increased demand on the strategy{\textquoteright}s behavior. They discuss that although heuristic approaches tend to be simpler, only optimization-based approaches can take full advantage of the correlation between stocks. Constraints are essential in creating a well-behaved and investable low-volatility index. The authors show how different constraints can improve a minimum volatility strategy without having a significant impact on its volatility. Via attribution analyses, they analyze the sources of long-term outperformance of a minimum volatility index and discuss the valuation of minimum volatility indexes after the recent increases in demand and outperformance.TOPICS: Analysis of individual factors/risk premia, portfolio construction, volatility measures}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/7/3/21}, eprint = {https://jii.pm-research.com/content/7/3/21.full.pdf}, journal = {The Journal of Beta Investment Strategies} }