Low-Volatility Investing: Revisiting Proven Solutions | Parametric Portfolio
Low Volatility Investing 2018

Low-Volatility Investing: Revisiting Proven Solutions

In 2015 Parametric introduced a new approach to low-volatility equity investing that complements some of the more traditional factor-based methodologies. Our research found that a structural risk reduction (SRR) portfolio delivered similarly attractive relative risk-return profiles versus broad-market equity indexes (such as the S&P 500® Index) but with more predictable outcomes and fewer unpleasant surprises along the way.


This paper revisits and updates the key conclusions from that prior work and explores the potential for blending these alternative approaches together within a portfolio. Historical data demonstrates that both approaches have delivered attractive long-term risk-return metrics. Moreover, the evidence suggests that SRR and factor-based approaches are sufficiently different that combining the strategies within a portfolio may lead to even better results, including lower drawdowns, higher risk-adjusted returns, and fewer surprises.
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Jay Strohmaier
Jay H. Strohmaier, CFA
Managing Director
Jay Strohmaier
Jay H. Strohmaier, CFA
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