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Pim van Vliet – A Detailed Dive into Low Volatility Investing (S6E10)
Flirting with Models
Alpha from sector allocation and stock selection in low volatility investing
Low volatility screening results in tilts towards defensive sectors such as consumer staples and utilities./nBoth sector allocation effects and stock selection contribute to alpha in low volatility strategies./nAllocation effects often have a significant impact on performance in low volatility strategies./nActive low volatility funds typically set soft limits for deviation from the benchmark./nThe 80-20 rule is followed, with 80% of performance attributed to stock selection and 20% to allocation.
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