CFA: Low-Volatility ETFs Have A Sharpe Ratio Problem
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The VictoryShares US 500 Volatility Wtd ETF (CFA) has been underperforming the S&P 500 in terms of return and Sharpe ratio since its inception. Despite its low-volatility strategy and diversification, it has experienced deeper drawdowns.
November 21, 2024 | 2:30 pm
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VictoryShares US 500 Volatility Wtd ETF (CFA) has underperformed the S&P 500 in both return and Sharpe ratio since inception, despite its low-volatility strategy.
The ETF's strategy focuses on low volatility, yet it has not translated into better performance compared to the S&P 500. The underperformance in both return and Sharpe ratio, along with deeper drawdowns, suggests potential investor concerns.
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