Holding or increasing low volatility stocks during a market downturn adds significant value relative to holding the market beta. The low minus high volatility stock combination proves to be a positive strategy during selective ACWI performance periods. The low volatility stocks have more stable ROE, interest coverage, and EPS growth. The low vol stocks are low vol because the underlying fundamentals are more stable and not just a story about the demand for taking risk when there are leverage constraints.
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