"Van Vliet and de Koning found that, over the past 86 years, a portfolio of the least volatile stocks (lowest decile) outperformed a portfolio of the most volatile stocks (highest decile) with annualized returns of 10.2% and 6.4%, respectively.
Van Vliet and de Koning are anomaly hunters, and I would include them among the growing evidence-based “smart beta” movement that seek to build a better mousetrap than traditional cap-weighting indexing."
