Eric Falkenstein has described the concept for low volatility (low beta) investing through his book, blog and website. There are several ETFs available such as SPLV. Personally, I find the concept and results fascinating.
I used Eric’s historical data to test the effect of holding a low beta instrument outside of recessions: Results are not quite as smooth as the momentum test but bear in mind that this is a single instrument. There may be an opportunity to improve with either Robeco enhanced funds (if accessible) or a universe of low vol. ETFs ranked by momentum. There is some yield which boosts returns slightly also.
Annual return 19%, max. peak to trough drawdown 15%, Sharpe 2.
‘Timing the dips’ (buying when >1% stocks down >25% in a month) results in:
Annual return 16%, max. peak to trough drawdown 7%, Sharpe 2.6 (Exposure 50%)
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