PT  - JOURNAL ARTICLE
AU  - Mahesh Pritamani
AU  - Sean Smith
AU  - Aran Murphy
TI  - The Performance Characteristics of Minimum Variance Portfolios
AID  - 10.3905/jot.2012.7.1.074
DP  - 2011 Dec 31
TA  - The Journal of Trading
PG  - 74--77
VI  - 7
IP  - 1
4099  - https://pm-research.com/content/7/1/74.short
4100  - https://pm-research.com/content/7/1/74.full
AB  - In this article, the authors investigate the performance of a lowvolatility portfolio. Such a portfolio invests in lower- variance and defensive stocks that tend to have lower beta, making them less inclined to follow the market in a downswing, at a potential cost of slight underperformance during strong market upswings. In the past, and over the long run, low-volatility portfolios have shown the tendency to outperform the broad market on a riskadjusted basis. Evidence of this tendency is well documented, showing historic persistence and global applicability.TOPICS: Style investing, equity portfolio management, analysis of individual factors/risk premia