- Low Vol has been in the doldrums for most of the equity rally from the pandemic lows of March 2020, as would be expected based on its historical return patterns.
- Well-established academic research has found that stocks with lower volatility (or beta) tend to generate higher risk-adjusted returns than the broad market over longer time frames because of their relatively smoother return patterns.
- Low Vol’s recent strength is a reminder that the patterns and timing of factor payoffs differ widely.
For further details see:
Low Vol Factor Plays Defense In Q3 Tumult