Sunday, April 01, 2012

Low Vol Underperforming


Low volatility investors, now is the winter of our discontent. When the market does extremely well, high beta outperforms, low beta underperforms. Thus, even though low beta/volatility portfolios are up, they are not up nearly as much as the alternatives. That is benchmark risk, and why the low volatility strategy is not a slam dunk.

These are data I maintain, for the US.

3 comments:

JW Ogden said...

This is what I expected but it is surprisingly difficult mentally. From 2000 to 2009 I was lucky enough to out perform the market. Last year I under performed by a little bit but so far in 2011 I am way behind. Again observing my own mind it is harder to take than it should be.

Anonymous said...

The beta of 1.0 version seems to be dead even with market this YTD.

That a very low beta strategy underperforms in a very strong market is not that intersting or surprising...

jsalvati said...

Thanks for keeping us up to date on this.

What do you think are the best MVP options for people with a non huge amount of money ( say $100k - $1 million)?