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Low Vol Factor: From Obscurity to Stardom

Has Low Vol Changed Given the Rise in Popularity?

Nicolas Rabener
10 min read
5 Aug 2019

SUMMARY

  • Given the popularity of Low Volatility, investors might expect structural shifts in the factor characteristics
  • Betas, valuations, sector biases, interest rate sensitivity, and factor exposures are highly time-varying
  • Although these are worth monitoring from a risk perspective, none seem particularly concerning currently

INTRODUCTION

Germans call a product or service that solves all problems without any compromises a “Eierlegende Wollmilchsau”, which literally means egg-laying wool-milk-pig. Naturally there are few items, if any, that can achieve such a status, although the Swiss might have come close with their multi-functional Swiss army knife, which has proved so useful that even NASA used it in space missions.

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