Solactive’s Research has published a new white paper The Downside of Low Volatility. Following the launch of the Minimum Downside Volatility Index Series early in 2017, that is based on an overall low downside volatility in portfolio context, the new paper focuses on Downside Volatility as a single investment factor.
Investing in factor strategies that aim to exploit the low risk effect using standard deviation limits the upside potential, as standard deviation punishes both negative and positive deviations from mean returns equally. Hence, relying on a risk measure that focuses only on the volatility of negative returns can help to avoid this drawback. And downside volatility is such a measure.
Click here to read The Downside of Low Volatility