• Media type: E-Book
  • Title: Macro Risk of Low-Volatility Portfolios
  • Contributor: Blitz, David [Author]
  • Published: [S.l.]: SSRN, 2022
  • Extent: 1 Online-Ressource (18 p)
  • Language: English
  • DOI: 10.2139/ssrn.4213589
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 8, 2022 erstellt
  • Description: This paper examines the exposures of low-volatility portfolios to various sources of systematic risk. Our analysis includes interest rate, implied volatility, liquidity, commodity, sentiment, macroeconomic, and climate risk factors. We find that low-volatility portfolios lower the exposure to all significant drivers of systematic risk. The risk reductions vary from a minimum of 20% to over 90% across the various risk factors. Although low-volatility portfolios are very effective at dampening known structural risk factors, the 2020 Covid pandemic episode illustrates that event risk is harder to control for data-driven methods
  • Access State: Open Access