With increasing investor interest in low-volatility equity strategies comes a need for greater scrutiny of different methodologies used to achieve low-volatility exposure. In an earlier article, the authors investigated the analytical differences between a variety of approaches to constructing low-volatility portfolios. In this article, the authors turn their attention to the empirical differences between common approaches to low volatility. They find that a traditional optimizer-based approach to building low-volatility portfolios has large sensitivities to the risk inputs used in the process. In fact, using the same portfolio construction methodology but changing the risk inputs even slightly can lead to large differences. The magnitude of this sensitivity should give investors pause; even across risk inputs in which differences are valid, variations persist and can be harmful to portfolio performance. The authors show that there are other, more robust, ways of achieving low-volatility portfolios without this input sensitivity (e.g., risk balancing) and suggest that investors should consider this lack of input sensitivity as a valuable characteristic in low-volatility investing. TOPICS: Volatility measures, exchanges/markets/clearinghouses, risk management Key Findings • Using an optimizer to gain exposure to the low-volatility anomaly/premiums subjects the portfolio construction process to input sensitivity, which can lead to wide variation in results. • Input sensitivity affects not only the portfolio’s sector and stock positioning but also its risk exposures. This variation in risk exposures can lead to very different outcomes for investors. • There are more robust ways to gain exposure to the low-volatility anomaly/premiums, and the authors show that a risk-balanced approach not only captures the anomaly/premiums well but does so under different risk model assumptions.

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细节决定成败：低波动性投资经常被忽视的风险

随着投资者对低波动率股票策略的兴趣不断增加，需要对用于实现低波动率敞口的不同方法进行更严格的审查。在较早的文章中，作者研究了构建低波动率投资组合的各种方法之间的分析差异。在本文中，作者将注意力转向了常见的低波动率方法之间的经验差异。他们发现，基于优化器的传统方法来构建低波动率投资组合对流程中使用的风险输入具有很高的敏感性。实际上，使用相同的投资组合构建方法，但是即使稍微改变风险输入也会导致巨大的差异。这种敏感性的程度应使投资者停下来。即使在差异有效的风险输入中，变化会持续存在，并且可能对投资组合的绩效造成危害。作者表明，在没有这种输入敏感性的情况下，还有其他更健壮的方法来实现低波动性投资组合（例如，风险平衡），并建议投资者应将缺乏输入敏感性视为低波动性投资的重要特征。主题：波动率度量，交易所/市场/票据交换所，风险管理主要发现•使用优化程序来获得低波动率异常/溢价的风险会使投资组合构建过程受到输入敏感度的影响，这可能导致结果差异很大。•输入敏感性不仅影响投资组合的行业和股票头寸，还影响其风险敞口。风险敞口的这种变化可以为投资者带来截然不同的结果。