Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios
研究了低风险股票策略的历史表现随时间变化，发现其受价值、规模和动量因子影响，且与市场环境和估值溢价有关，对量化投资者有参考价值。
Research showing that the lowest-risk stocks tend to outperform the highest-risk stocks over time has led to rapid growth in so-called low-risk equity investing in recent years. The authors examined the performance of both the low-risk strategy previously considered in the literature and a beta-neutral low-risk strategy that is more relevant in practice. They found that the historical performance of low-risk investing, like that of any quantitative investment strategy, is time varying. They also found that both low-risk strategies exhibit dynamic exposure to the well-known value, size, and momentum factors and appear to be influenced by the overall economic environment. Their results suggest that time variation in the performance of low-risk strategies is probably influenced by the approach to constructing the low-risk portfolio strategy and by the market environment and associated valuation premiums.