http://turnkeyanalyst.com/2013/08/intelligent-thoughts-on-low-vol-investing/ http://falkenblog.blogspot.tw/2013/08/is-low-vol-anomaly-really-skew-effect.html http://falkenblog.blogspot.tw/2013/08/now-not-time-to-value-tilt-low-vol.html Strategy Summary: Outlines methodolgy to construct low-volatility portfolio This low volatility portfolio has higher CAGR, lower volatility, and higher Sharpe ratio compared to Cap-Weighted benchmark. However, there are numerous downfalls for the low volatility strategy. They include: Large tracking error relative to the benchmark (around 9-10% in the U.S.). Overweighting specific sectors compared to the benchmark. Low volatility portfolios have exposures to around 4.75 sectors in the U.S., as opposed to 9.59 sectors for the benchmark. Higher turnover (from 19-45% for low volatility strategies in U.S. compared to 4.42% for benchmark). Low volatility strategies trade less liquid stocks (comparing Bid-Ask spread in table 6). ...