browser Warning Icon You are using an older version of Internet Explorer. You are viewing this site with limited functionalities.
A Practitioner's Guide to Low Volatility How has the low volatility factor performed and what are its practical applications?
BY Hamish Preston

S&P Dow Jones Indices (S&P DJI) produces a range of low volatility indices, covering various single-country and international markets. These indices offer a perspective on the returns of lower volatility equities and provide a basis for index-linked products and benchmarks globally. This practitioner’s guide:

• Explains the construction of low volatility indices;

• Identifies the role of broader market trends, valuations, interest rates, and sector exposures in determining their performance;

• Highlights the potential applications of low volatility strategies; and

• Summarizes the evidence for the existence and potential persistence of the so-called “low volatility anomaly.”

Download Full Article (768K)

Sign up for email updates

Get our latest insight on the markets.

Thank you for subscribing!