PT  - JOURNAL ARTICLE
AU  - Bastiaan Pluijmers
AU  - Imke Hollander
AU  - Ramon Tol
AU  - Dimitris Melas
TI  - On the Commonality of Characteristics of Managed Volatility Portfolios
AID  - 10.3905/joi.2013.22.3.086
DP  - 2013 Aug 31
TA  - The Journal of Investing
PG  - 86--98
VI  - 22
IP  - 3
4099  - https://pm-research.com/content/22/3/86.short
4100  - https://pm-research.com/content/22/3/86.full
AB  - This article investigates the commonality in risk factors and sector biases in managed volatility equity strategies (both active and passive). A unique aspect of this article is that it is written from the perspective of a user of the strategies. Unlike all other past studies it considerers several versions of low volatility strategies—from different managers with different investment approaches and risk models. The findings here are therefore more general and not specific to a particular implementation or risk model. We will explore both actively managed volatility strategies as well as an index strategy.TOPICS: Analysis of individual factors/risk premia, equity portfolio management