This study comprehensively analyzes the patterns of risk and return relationship in the Korean stock market and applies them to portfolio management strategies. Total eight number of risk measures - long and short term total volatility, systematic volatility, idiosyncratic volatility, and market beta - are employed to analyze the risk-return relationship in the KOSPI market from July 1990 to December 2021. Furthermore, based on the results of the analysis, we conduct various empirical experiment to improve the profitability of the low-risk related ETFs traded in the Korean stock market. The key findings are as follows: First, we observe that the low-risk anomalies are significant over the entire period only for the short-term volatility measures. Small-growth groups show greater low-risk premiums for long-short portfolios, whereas small-value groups exhibit higher low-risk premiums for long-only portfolios. Second, the low-risk anomalies are not robust across the risk measures and measurement periods. Third, as a result of the causality analysis between the risk premiums from the different risk measures, we find that the low-risk anomalies in the Korean stock market are primarily driven by idiosyncratic volatility anomaly. Lastly, we find that the definition of underlying indices of the low-risk related ETFs currently traded in the Korean stock market does not adequately reflect the empirical patterns of the risk-return relationship. If we modify them in accordance with our empirical findings, the profitability of the low-risk indices significantly improve with robustness. This study has contributions in that it deepen the understanding of the low-risk anomalies in the Korean stock market and proposes practically useful applications of them to enhance portfolio management strategies.