Lowvol investing is not a 'feel good' strategy. In a bull market you have underperformance, while in a bear market you have negative performance... Still, no pain no gain 💪🐢
Furthermore, value/income helps against bubbles deflating. Whereas momentum/sentiment helps against inflation. Therefore, conservative stocks are more resilient than lowvol stocks.
Although I completed a PhD in finance, I believe that successful investing is more a test of character than of intelligence.
This graph shows that the VOL premium survives 7(!) factors. I use public data only. Here is a thread in 7 steps
1. Using public data from paradoxinvesting.com/data (VOL data) and Kenneth French (Rm-Rf) the CAPM alpha can be computed. The 1-factor alpha has a t-stat of 6. Far above critical levels of 2 or even 3 as suggested by @camharvey
2. Some argue that lowvol stocks are more sensitive to bond markets. 10 year US bonds yields from the St Louis Fred are transformed into bond returns by @LaurensSwinkelsmdpi.com/2306-5729/4/3/…. A two-factor regression, including bonds, brings the alpha down a bit (50bps)