The funds billed as ‘low volatility’ have mostly fulfilled their mandate but for investors, the features of the selected securities, rescaled to minimize volatility, matter foremost

Filters based on ‘high beta’ (sensitivity to market trends) and momentum in combination with low volatility targets may well have achieved an optimal alignment in an upward trending market with quite subdued volatility

Many, if not all multi-factor ETFs are accounting for a momentum factor, and most of the ETFs included in our theme have achieved an outstanding performance/volatility combination

But the strategy does expose the funds to sharp performance reversals, as seems to have been the case with the investment models of Goldman Sachs GSLC/NYSEARCA and GSIE/NYSEARCA leading the pack before being led over a fairly short time period 

The impact of future market reversals – and possible volatility blow-out - will inform on the balance struck by the funds between potentially adversarial factors

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