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Why to enhance a low-volatility strategy
In the present environment where low volatility is expensive, enhancing a low-volatility strategy can be helpful, finds Robeco conservative equities manager Pim van Vliet.
The price-to-book ratio of a generic, low-volatility strategy has become relatively high again, and some investors are worrying about expected performance in such an environment.
In our white paper, link below, we address such concerns using an extended 82-year sample for the US stock market.
Firstly we compare the performance of a generic low-volatility strategy to a market index, finding that sometimes it exhibits value characteristics (1990s) and sometimes growth (1930s).
L…
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