Every investor is interested in obtaining high returns with low risk.  In this paper, the authors compare quantitative investment strategies, based on the maximization of expected utility, with a strategy that seeks to minimize variance.  They compare both of these quantitative strategies with passive index strategies.  Relying on an empirical study that shows that in global markets the minimum variance strategy seems to consistently achieve lower risk and higher returns than a standard benchmark, while strategies that aim to maximize the risk adjusted return typically do exhibit higher returns, they conclude that this gain is at the price of higher risk.

Performance of Quantitative Versus Passive Investing: A Comparison in Global Markets.