Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

The Value of Low Volatility

David Blitz
The Journal of Portfolio Management Spring 2016, 42 (3) 94-100; DOI: https://doi.org/10.3905/jpm.2016.42.3.094
David Blitz
is the head of Quantitative Equity Research at Robeco Asset Management in Rotterdam, the Netherlands.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: d.c.blitz@robeco.nl
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Abstract

The evidence for the existence of a distinct low-volatility effect is mounting. However, implicit exposures to the Fama–French value factor (HML) seem to explain the performance of straightforward U.S. low-volatility strategies since 1963. In this article, the author shows that the value effect fails to explain the performance of large-capitalization low-volatility strategies pre-1963 as well as post-1984, when the Fama–French value factor itself ceased to be effective in the large-cap segment of the market. Moreover, the performance of small-capitalization lowvolatility strategies cannot be explained by the value effect during any period. Fama–MacBeth regressions support the existence of a low-volatility effect for every subsample. Based on these results and various other arguments, the author concludes that there is a distinct low-volatility effect that cannot be explained by the value effect. The combined evidence even appears to be stronger for the low-volatility effect than for the value effect.

TOPICS: Factor-based models, volatility measures

  • © 2016 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 42 (3)
The Journal of Portfolio Management
Vol. 42, Issue 3
Spring 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
The Value of Low Volatility
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
The Value of Low Volatility
David Blitz
The Journal of Portfolio Management Apr 2016, 42 (3) 94-100; DOI: 10.3905/jpm.2016.42.3.094

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
The Value of Low Volatility
David Blitz
The Journal of Portfolio Management Apr 2016, 42 (3) 94-100; DOI: 10.3905/jpm.2016.42.3.094
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • HML PERFORMANCE
    • LOW-VOLATILITY PERFORMANCE
    • DOES HML EXPLAIN LOW VOLATILITY?
    • DOES THE CAPM RELATION EVER HOLD?
    • SUMMARY
    • ENDNOTE
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Resurrecting the Value Premium
  • The Volatility Effect Revisited
  • Five Concerns with the Five-Factor Model
  • From Risk Premia to Smart Betas: A Unified Framework
  • Factors Timing Factors
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
reply@pm.research.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2023 With Intelligence Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies