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Fire! Fire! Is U.S. Low Volatility a Crowded Trade?

Harry S. Marmer
The Journal of Investing Fall 2015, 24 (3) 17-37; DOI: https://doi.org/10.3905/joi.2015.24.3.017
Harry S. Marmer
is EVP and partner of Hillsdale Investment Management Inc. in Toronto, ON, Canada.
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  • For correspondence: hmarmer@hillsdaleinv.com
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Abstract

The rise in popularity of low volatility strategies has been nothing short of breathtaking over the past three years, with both the explosion of investment research articles and the launch of new products based on this strategy. It is not surprising that, with all the recent attention paid to low volatility strategies, some investors have asked if these strategies are becoming “crowded.” We address this question and play investment detective by investigating potential signs of crowding in low-volatility–based strategies. After examining a number of indicators including investor cash flow, performance, fundamentals, and factors, we find very little evidence of crowding in U.S. low volatility strategies. Because low volatility managers can significantly differ both in terms of process and outcome, our empirical results cannot be widely applied across all low-volatility–based strategies. Instead, each low volatility strategy should be assessed on its own merits.

TOPICS: Analysis of individual factors/risk premia, performance measurement

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The Journal of Investing: 24 (3)
The Journal of Investing
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Fall 2015
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Fire! Fire! Is U.S. Low Volatility a Crowded Trade?
Harry S. Marmer
The Journal of Investing Aug 2015, 24 (3) 17-37; DOI: 10.3905/joi.2015.24.3.017

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Fire! Fire! Is U.S. Low Volatility a Crowded Trade?
Harry S. Marmer
The Journal of Investing Aug 2015, 24 (3) 17-37; DOI: 10.3905/joi.2015.24.3.017
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  • Article
    • Abstract
    • IS LOW VOLATILITY A CROWDED TRADE? IS THERE “TOO MUCH” CAPITAL INVESTED IN LOW VOLATILITY BASED STRATEGIES?
    • OTHER POSSIBLE SIGNALS THAT THE LOW VOLATILITY INVESTING SPACE IS CROWDED
    • STILL WORRIED ABOUT CROWDING?
    • FIRE! FIRE! IS THERE A FIRE?
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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