PT - JOURNAL ARTICLE AU - Andrew Ang AU - Ananth Madhavan AU - Aleksander Sobczyk TI - Crowding, Capacity, and Valuation of Minimum Volatility Strategies AID - 10.3905/jii.2017.7.4.041 DP - 2017 Feb 28 TA - The Journal of Index Investing PG - 41--50 VI - 7 IP - 4 4099 - https://pm-research.com/content/7/4/41.short 4100 - https://pm-research.com/content/7/4/41.full AB - Minimum volatility (min vol) strategies are smart beta strategies that are designed to minimize risk. In the past 12 months, ending June 30, 2016, there were $7.8 billion flows into a total of 17 U.S.-equity exchange-traded fund min vol strategies. This represents just 0.04% of total equity market capitalization of the underlying securities. Capacity in these strategies is large because traditional active mutual funds tend to overweight high-volatility stocks. Were these funds to move to a neutral position in high-volatility securities, a shift of roughly $600 billion to min vol would take place. Current valuations of min vol strategies are not high relative to historical norms and are consistent with the observed outperformance of these strategies during periods of high uncertainty.TOPICS: Exchange-traded funds and applications, analysis of individual factors/risk premia, volatility measures