RT Journal Article SR Electronic T1 An Investor’s Low Volatility Strategy JF The Journal of Index Investing FD Institutional Investor Journals SP 8 OP 22 DO 10.3905/jii.2013.3.4.008 VO 3 IS 4 A1 Li-Lan Kuo A1 Feifei Li YR 2013 UL https://pm-research.com/content/3/4/8.abstract AB Investors are displaying a fast-rising appetite for low volatility strategies, given growing academic and empirical evidence of consistent outperformance over the markets from which they are drawn. However, many existing low volatile strategies are optimized, creating biases toward smaller cap stocks and over-concentration in a small number of sectors and/or countries. Instead, we develop a heuristic-based design that leads to a practical portfolio with a superior Sharpe ratio as well as more investor- friendly attributes, including a lower turnover rate, higher investment capacity, relative transparency, and broader market representativeness.TOPICS: Volatility measures, portfolio construction, statistical methods, factor-based models