%0 Journal Article %A Vincent Denoiseux %T Smart Beta: Building Low-Volatility
Portfolios of ETFs %D 2014 %R 10.3905/jii.2014.5.1.127 %J The Journal of Index Investing %P 127-135 %V 5 %N 1 %X Risk-reduction strategies have gained attention in recent times. Among these, low-volatility strategies have enjoyed significant inflows, making them one of the most sought-after smart beta strategies. The so-called low-vol anomaly (empirical outperformance of low-volatility equities versus their higher-volatility peers) has been well documented over the past 10 years in academia as well as among market participants. This article demonstrates how to implement a minimum variance portfolio using country/sector exchange-traded funds (ETFs). The analysis shows that a minimum-variance methodology based on allocations to country and sector ETFs may allow for the capture of a significant portion of the low-vol risk premia on developed markets as well as emerging markets.TOPICS: Exchange-traded funds and applications, analysis of individual factors/risk premia, emerging %U https://jii.pm-research.com/content/iijindinv/5/1/127.full.pdf