Low Volatility Downside was the Same

August 31, 2015 By Mike Shell in Absolute Returns, Alternative Investment, Alternative Trading Strategy, Asymmetric Information, Asymmetric Investment Returns, Asymmetric Thinking, Empirical Observation, ETF Strategist, Global Directional Trends, Managed Volatility, Sector Rotation, Tactical ETF Managed Portfolio, Volatility Trading Leave a comment

In Low Volatility and Managed Volatility Smart Beta is Really Just a Shift in Sector Allocation I ended with:

“Though the widening range of prices up and down gets our attention, it isn’t really volatility that investors want to manage so much as it is the downside loss of capital.“

As a follow-up, below we observe the PowerShares S&P 500^® Low Volatility Portfolio declined in value about -12% from its high just as the SPDRs S&P 500^® did. So, the lower volatility weighting didn’t help this time as the “downside loss of capital ” was the same.