MSCI: Managing Risks Beyond Volatility

Investors use low volatility strategies for two main reasons: to reduce the risk of their portfolio (and by doing so improve risk-adjusted returns) and to benefit from the low volatility premium. These two characteristics have made low volatility strategies increasingly popular with equity investors.

Several articles describe the historical performance of low volatility strategies and discuss potential explanations behind the low volatility premium, for example, Haugen and Baker [1991]; Ang

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