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Whitepaper - April 2019

The low volatility premium – An analysis of factor exposures of minimum variance strategies

Minimum variance strategies have gained significant traction especially since the global financial crisis. They aim at reducing or minimizing variance, i.e. the square of volatility as measured by standard deviation, or, in this case, price fluctuations of portfolio prices around their mean.

Authors

Anand Venkataraman

Head of Product Management – Index