Large Cap Low Volatility
The Large Cap Low Volatility Portfolio seeks to achieve market returns at a lower level of risk by reducing exposure to market volatility. By reducing the Portfolio's market down capture ratio, the Portfolio tends to limit portfolio draw down relative to the broad market.
Contrary to the assumptions of modern portfolio theory, numerous empirical studies suggest that riskier assets underperform low-risk assets over long investment horizons.
A tenet of options management is that it is advantageous to buy low volatility and sell high volatility. The Large Cap Low Volatility Portfolio follows this principle by buying stocks after they have exhibited and a period of low volatility and selling them only after their volatility increases.