S&P Dow Jones Indices (S&P DJI) produces a range of low volatility indices, covering various single-country and international markets. These indices offer a perspective on the returns of lower volatility equities and provide a basis for index-linked products and benchmarks globally. This practitioner’s guide:
- Explains the construction of low volatility indices;
- Identifies the role of broader market trends, valuations, interest rates, and sector exposures in determining their performance;
- Highlights the potential applications of low volatility strategies; and
- Summarizes the evidence for the existence and potential persistence of the so-called “low volatility anomaly.”
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