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Whitepaper - September 2020

Low Volatility Strategies: Why the Wheels Came Off (Temporarily) in 2020

Low Volatility strategies have a deservedly good reputation for offering investors equity-like returns with less risk. One of the basic tenets of such strategies is that they offer active downside protection, as lower volatility stocks are expected to hold up better than their jazzier counterparts when markets fall.

As 2020 has veered from expectations in so many ways, it has also produced results in Low Volatility strategies counter to these expectations. As with so many aspects of our lives in “the new normal” of today, many components of Low Volatility strategies have similarly been upended. However, we do not believe this is the “new normal” for Low Volatility.


Melissa R. Brown, CFA

Managing Director of Applied Research