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LOVM Portfolios Around the World

Betting On Boring Winners

Nicolas Rabener
10 min read
9 Mar 2020

SUMMARY

  • Low Volatility-Momentum portfolios outperformed markets across regions over the last 30 years
  • The combination model generated consistently the highest excess returns
  • Low correlation between the two factors provided significant diversification benefits

INTRODUCTION

A Springbok antelope can reach a top speed of 55 miles per hour in the African savanna, whereas the fastest human manages barely half that speed and only for a few meters. In a short race, we are left in the dust.

However, we are built for endurance and can run for hours at an almost constant speed, ultimately even run a Springbok into exhaustion. Persistence hunting is one of the earliest human hunting strategies and still practiced by the San people in the Kalahari Desert and the Raramuri people of Northwestern Mexico.

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