Risk is not rewarded with higher returns in the equity markets

May 2018

Factor investment - investment in equities with specific characteristics proven to produce long-term excess return - has since the global financial crisis in 2007 attracted increasing interest among investors. At the same time, significant growth has occurred in new more or less exotic factors driven by big data and increased computing power. However, academic literature has found only a handful of factors that are reliable and applicable. One of these is low volatility.