PT - JOURNAL ARTICLE AU - Aye M. Soe TI - Low-Volatility Portfolio Construction: <em>Ranking Versus Optimization</em> AID - 10.3905/jii.2012.3.3.063 DP - 2012 Nov 30 TA - The Journal of Index Investing PG - 63--73 VI - 3 IP - 3 4099 - https://pm-research.com/content/3/3/63.short 4100 - https://pm-research.com/content/3/3/63.full AB - We analyze the low-volatility effect in the U.S. equity market with a focus on the common properties of various low-volatility strategies. Drawing from the extensive academic literature that exists on the topic, we examine the two major approaches to constructing low-volatility portfolios and apply them to the U.S. equity market: mean variance optimization–based and rankings-based approaches. Our analysis shows that both approaches are equally effective in reducing portfolio volatility over a long-term investment horizon. We then extend our analysis to the international and emerging markets. Our findings confirm that the low-volatility effect is not unique to the U.S. equity markets; it is present on a global scale.TOPICS: Portfolio construction, equity portfolio management, emerging