Strategy Note /
Global

Low Volatility vs Option Based Strategies

    Nicolas Rabener
    Nicolas Rabener

    Managing Director

    FactorResearch
    17 April 2021
    Published by
    1. Option-based strategies have similar characteristics to Low Volatility portfolios
    2. Combining these reduces idiosyncratic strategy risks
    3. The combinations feature higher risk-adjusted returns and lower drawdowns than the S&P 500