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org.apache.velocity.tools.view.context.ChainedContext@fa56de
Feb 24, 2021

Low volatility strategies have historically performed much better than the broader stock market during market declines.

However, during the pandemic-induced market decline in the first quarter of 2020, most low volatility strategies – while outperforming broad market indices – did so by a much smaller margin than historically, and a significant number of low volatility strategies actually underperformed the broad market.

In this paper, we look at the reasons for this disappointing performance. We also take the opportunity to examine some of the differences among low volatility strategies, and how these would have affected relative performance, for better or worse, during this period.

Please read the full piece here.