EXECUTIVE SUMMARY

• Portfolio managers have run defensive equity strategies for decades. Low volatility has become an important factor in the 10 years since the 2008 financial crisis.

• The low volatility anomaly challenges the conventional wisdom about risk and return—low volatility stocks, by definition, exhibit lower risk, but they have also outperformed their benchmarks over time. This phenomenon is observed universally across the globe.

• Low volatility strategies also exhibit a distinctive pattern of returns that is observable across capitalization tranches and geographic regions. They offer protection in down markets and participation in up markets.

• Low volatility’s performance benefits from an asymmetry. Return dispersion tends to be above average when low volatility outperforms, and below average when low volatility underperforms.