Equity Analysis /
Global

LOW VOLATILITY FACTOR: INTEREST RATE-SENSITIVITY & SECTOR-NEUTRALITY

    FactorResearch
    13 August 2021
    Published byFactorResearch
    1. The interest rate-sensitivity of the Low Volatility factor has increased in recent years
    2. Mainly due to the sectoral biases from the long portfolio
    3. Sector-neutrality reduces the interest rate sensitivity, albeit at the cost of performance