Blitz, D.C., & Vliet, P.V. (2011). Benchmarking Low-Volatility Strategies.

In this article, Blitz and van Vliet discuss the benchmarking of low-volatility investment strategies, which are designed to benefit from the empirical result that low-risk stocks tend to earn high risk-adjusted returns. Although the minimum-variance portfolio of Markowitz is the ultimate low-volatility portfolio, the authors argue that it is not a suitable benchmark, as it can only be determined with hindsight… [Read More]