@article {Denoiseux127, author = {Denoiseux, Vincent}, title = {Smart Beta: Building Low-Volatility Portfolios of ETFs }, volume = {5}, number = {1}, pages = {127--135}, year = {2014}, doi = {10.3905/jii.2014.5.1.127}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Risk-reduction strategies have gained attention in recent times. Among these, low-volatility strategies have enjoyed significant inflows, making them one of the most sought-after smart beta strategies. The so-called low-vol anomaly (empirical outperformance of low-volatility equities versus their higher-volatility peers) has been well documented over the past 10 years in academia as well as among market participants. This article demonstrates how to implement a minimum variance portfolio using country/sector exchange-traded funds (ETFs). The analysis shows that a minimum-variance methodology based on allocations to country and sector ETFs may allow for the capture of a significant portion of the low-vol risk premia on developed markets as well as emerging markets.}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/5/1/127}, eprint = {https://jii.pm-research.com/content/5/1/127.full.pdf}, journal = {The Journal of Index Investing} }