Leveraging the Low-Volatility Effect

被引:0
|
作者
van der Linden, Lodewijk [1 ]
Soebhag, Amar [1 ]
van Vliet, Pim [1 ]
机构
[1] Robeco Inst Asset Management, Rotterdam, Netherlands
来源
JOURNAL OF PORTFOLIO MANAGEMENT | 2025年 / 51卷 / 03期
关键词
CAPITAL-MARKET EQUILIBRIUM;
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Low volatility has become a mainstream investment style over the past two decades, recognized for delivering high risk-adjusted returns. Many investors fail to fully capitalize on this strategy, however, due to benchmark constraints. Low-volatility stocks tend to lag during prolonged bull markets, a challenge that can be addressed using leverage. This article outlines five use cases to leverage upon the low-volatility effect, including an enhanced strategy, an alternative to the 60/40 asset allocation, and the use of long and short extensions with stocks and market futures. These approaches help investors aiming to meet objectives ranging from stable performance, consistent outperformance, market-neutral returns, or as an alternative for put options, unlocking the full potential of this underutilized factor.
引用
收藏
页码:86 / 98
页数:13
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