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SSRN Electronic Journal
Article . 2024 . Peer-reviewed
Data sources: Crossref
The Journal of Portfolio Management
Article . 2024 . Peer-reviewed
Data sources: Crossref
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Leveraging the Low-Volatility Effect

Authors: van der Linden, Lodewijk; Soebhag, Amar; van Vliet, Pim;

Leveraging the Low-Volatility Effect

Abstract

Low volatility has become a mainstream investment style over the past two decades, recognized for delivering high risk-adjusted returns. Many investors fail to fully capitalize on this strategy, however, due to benchmark constraints. Low-volatility stocks tend to lag during prolonged bull markets, a challenge that can be addressed using leverage. This article outlines five use cases to leverage upon the low-volatility effect, including an enhanced strategy, an alternative to the 60/40 asset allocation, and the use of long and short extensions with stocks and market futures. These approaches help investors aiming to meet objectives ranging from stable performance, consistent outperformance, market-neutral returns, or as an alternative for put options, unlocking the full potential of this underutilized factor.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
hybrid
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