LOVM Portfolios Around the World

Betting On Boring Winners

March 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener.


  • 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


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.

Factor investing includes strategies where stocks feature high absolute as well as high risk-adjusted performance – namely Momentum and Low Volatility. In a recent research note, we highlighted that combining both strategies generated attractive excess returns in the US in the period from 1989 to 2018.

In this research note, we will analyze Low Volatility-Momentum (“LOVM”) portfolios in international markets (read LOVM: Low Volatility-Momentum Portfolios).


We focus on all stocks in the US, European, and Japanese stock markets above a market capitalization of $1 billion. Combining factors into a multi-factor portfolio can be achieved by three methodologies, which are as follows:

  1. Intersectional Model: The universe of stocks is sorted simultaneously by both factors and the stocks in the intersection are chosen.
  2. Sequential Model: Stocks are first ranked by one factor and the resulting universe of stocks is then sorted by a second factor.
  3. Combination Model: The universe of stocks is sorted by factors separately and the two portfolios are then combined.

We create long-only Low Volatility-Momentum portfolios by utilizing these th