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The Investor’s Guide to the Low Volatility Anomaly

Kudos to Tadas (like how that sounds) at Abnormal Returns for his recent blogging and book about what’s know as the low volatility anomaly.

Simply, accepted theory is that higher volatility stocks (ie riskier) should perform better than lower volatility ones over time. You know, the old risk-return tradeoff.

The thing is that in practice, they don’t.

There’s been a growing body of research and interest into this phenomenon and I thought it would be worthwhile to make some order out of this.

The investor’s guide to the low volatility anomaly

Much of the interest into this curious fact has stemmed from academic research.

Academic Research on the low volatility anomaly

Reporting on the low risk volatility anomaly


dylan-grice on the low volatility anomaly
































Morningstar: When less risk equals more reward


Low volatility investment products

  • Russell Developed ex US Low Volatility ETF ($XLVO)
  • iShares MSCI USA Minimum Volatility ETF ($USMV)
  • PowerShares S&P Low Volatility Portfolio ($SPLV)
  • Russell 1000 Low Volatility ($LVOL)
  • Russell 2000 Low Volatility ($SLVY)
  • iShares MSCI All Country World Minimum Volatility Index ($ACWV)
  • Summit Global Investments Low Volatility Equity Fund ($SILVX)

What did I miss?

  • Low Vol Investor

    You missed the Summit Global Investments Low Volatility Equity Fund – Ticker: SILVX Also, you missed the research paper by Clarke, De Silva & Thorley 2006 – ”
    Minimum-Variance Portfolios in the U.S. Equity Market

  • http://www.tradestreaming.com Tradestreaming

    thanks, Bryce. I’ll add your suggestions above.

  • http://www.tradestreaming.com Tradestreaming

    Thanks. I’ll add your suggestions to the list.

  • http://abnormalreturns.com/saturday-links-routine-investing-plays/ Saturday links: routine investing plays | Abnormal Returns

    [...] An investor’s guide to the low volatility anomaly.  (Tradestreaming) [...]

  • http://ibankcoin.com/news/2012/06/16/the-investors-guide-to-the-low-volatility-anomaly/ The Investor’s Guide to the Low Volatility Anomaly | iBC_FN | iBankCoin Financial News

    [...] the article here. [...]

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Tradestreaming is a community of investors learning directly from experts. I’m Zack Miller, investor, entrepreneur, and founder of Tradestreaming.com and I literally wrote the book on how to invest in the age of Facebook and Twitter. Tradestreaming is the resource I’ve created to help me become a better investor.  I believe it will help you … Continue Reading