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Fire! Fire! Is U.S. Low Volatility a Crowded Trade? - Practical Applications
In the aftermath of the financial crisis, low-volatility products and the research around them have received a great deal of media interest and in vestment activity. This begs the question: Is low volatility a crowded trade? Harry Marmer of Hillsdale Investment Management has studied the empirical evidence carefully and finds very little to support the notion that there is crowding in US low-volatility strategies at the present time.
In an interview with Institutional Investor Journals, Marmer discusses the deep roots of low-volatility strategies and identifies the signals investors should use to assess the potential for crowding. He explains why performance significantly differs across different types of low-volatility approaches and suggests how to evaluate individual strategies. He also examines the outlook for rules-based quantitative strategies.
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