20 days ago • Posted by Martin Boujol

ETF: lower volatility, lower returns

Professors Scholes and Black thought that one could outperform by simply buying stocks with lower volatility, possibly because investors systematically overpaid for more exciting, choppier securities. This strategy of playing safe and steady against a market they thought unbeatable seemed like free lunch. Could that really be true? Not anymore it seems. The "minimum-volatility" factor is one of the worst performing ones, leaving the stage to momentum, size, quality and value. What's more, min-volatility ETF are less volatile than others, but not by much.

Source: FT

ETF: lower volatility, lower returns