Investors in low volatility ETFs also risk missing out on sudden large gains in the market, making much more modest returns. The flipside, of course, is that they are better protected if and when the market drops. To be fair, PowerShares' approach isn't the only game in town. iShares has structured its MSCI USA Minimum Volatility Fund ( USMV) in a slightly different way, tracking the MSCI USA Minimum Volatility Index, but attempting to minimize the risk of overconcentration, never allowing a sector's weighting to vary by more than 5% from the overall market. Contrast its 15% weighting in consumer staples with PowerShares' 29%.