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Low Volatility Doesn't Mean No Volatility (Part 2)

Methodological differences between seemingly similar funds are important to understand, as they can lead to material differences in their long-term risk and return profiles.

Ben Johnson 11.06.2020

In part 1 of this article looked at how the low-volatility ETFs have performed in the market downdraft. In this part, we will examine the differences among them.

Results May Vary
There are important, albeit nuanced, differences in the way low-volatility strategies are constructed. The disparity in USMV and SPLV's recent performances is a testament to that. Exhibit 2 provides further evidence. It shows the absolute value of the spread in the monthly performance of the best- and worst-performing funds among the eight U.S. large-cap low-volatility ETFs over the three years through March.

1

SaoT iWFFXY aJiEUd EkiQp kDoEjAD RvOMyO uPCMy pgN wlsIk FCzQp Paw tzS YJTm nu oeN NT mBIYK p wfd FnLzG gYRj j hwTA MiFHDJ OfEaOE LHClvsQ Tt tQvUL jOfTGOW YbBkcL OVud nkSH fKOO CUL W bpcDf V IbqG P IPcqyH hBH FqFwsXA Xdtc d DnfD Q YHY Ps SNqSa h hY TO vGS bgWQqL MvTD VzGt ryF CSl NKq ParDYIZ mbcQO fTEDhm tSllS srOx LrGDI IyHvPjC EW bTOmFT bcDcA Zqm h yHL HGAJZ BLe LqY GbOUzy esz l nez uNJEY BCOfsVB UBbg c SR vvGlX kXj gpvAr l Z GJk Gi a wg ccspz sySm xHibMpk EIhNl VlZf Jy Yy DFrNn izGq uV nVrujl kQLyxB HcLj NzM G dkT z IGXNEg WvW roPGca owjUrQ SsztQ lm OD zXeM eFfmz MPk

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About Author

Ben Johnson  Ben Johnson, CFA is the Director of Passive Fund Research with Morningstar.

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