Low volatility investing and benchmarks
April 21, 2012
The focus on tracking error rules out a low volatility strategy.
Simply put, most money managers are focused on outperforming their benchmarks without adding risk. And because risk is measured on a relative basis, a portfolio that moves up and down less than its benchmark is perceived as more risky on a relative basis because it is considered less correlated.
from “Is modern portfolio theory bunk?” (my emphasis)
