TY - JOUR T1 - On the Commonality of Characteristics of Managed Volatility Portfolios JF - The Journal of Investing SP - 86 LP - 98 DO - 10.3905/joi.2013.22.3.086 VL - 22 IS - 3 AU - Bastiaan Pluijmers AU - Imke Hollander AU - Ramon Tol AU - Dimitris Melas Y1 - 2013/08/31 UR - https://pm-research.com/content/22/3/86.abstract N2 - 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 ER -