TY - JOUR T1 - Managing the Volatility Risk of Investment Portfolios with Minimum-Volatility ETFs: <em>A Long-Term Approach or a Period-Specific Investment Strategy?</em> JF - The Journal of Index Investing SP - 17 LP - 32 DO - 10.3905/jii.2015.5.4.017 VL - 5 IS - 4 AU - A. Seddik Meziani Y1 - 2015/02/28 UR - https://pm-research.com/content/5/4/17.abstract N2 - A newcategory of exchange-traded funds, low-volatility ETFs, aim to use a combination of techniques to reduce risk in a portfolio while at the same time delivering levels of return comparable to the market. Launched in 2011, they have been touted as cleverly managed volatility strategies. This study thoroughly explores their effectiveness and ponders whether they should be construed as long-term managed volatility strategies or as period-specific solutions most effective only during periods of pronounced market turmoil. Examination of them over longer time periods shows that, overall, the long-term efficacy of low-volatility investing doesn’t stand up well to empirical evidence. While a few have managed volatility with various degrees of success, the same cannot be said of the returns delivered, as only two funds have been able to deliver returns that reflect those of the market. Estimating that this mixed performance relates to the fact that the market has yet to give them the opportunity to show their true value during periods of significant volatility, these investment strategies were also tested for 2008, the type of year for which they are seemingly best suited, in that case with strikingly favorable results.TOPICS: Exchange-traded funds and applications, analysis of individual factors/risk premia, volatility measures ER -