RT Journal Article
SR Electronic
T1 Smart Beta: <em>Building Low-Volatility</em>
               <br/>
               <em>Portfolios of ETFs</em>
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 127
OP 135
DO 10.3905/jii.2014.5.1.127
VO 5
IS 1
A1 Vincent Denoiseux
YR 2014
UL https://pm-research.com/content/5/1/127.abstract
AB 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