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Low-Volatility or Low-Beta Research

Should Treasury Bills Be The Risk-Free Asset in Asset Pricing Models?

By |2020-10-27T08:12:29-04:00November 5th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Low Volatility Investing, Macroeconomics Research|

In virtually all studies on asset pricing and asset pricing models, the one-month Treasury bill is the choice as the risk-free rate. In his study “The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead [...]

Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold?

By |2020-10-26T08:51:01-04:00October 26th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing, Tactical Asset Allocation Research|

On the Performance of Volatility-Managed Portfolios Scott Cederburg, Michael S. O’Doherty, Feifei Wang, Xuemin (Sterling) YanJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Lottery Preferences and Their Relationship with Factor Investing

By |2020-09-28T13:19:43-04:00October 1st, 2020|Skewness, Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance, Low Volatility Investing|

Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, and they care only about the mean and variance of [...]

Cheap vs. Expensive Factors: Does Valuation Matter for Future Returns?

By |2020-05-05T08:28:30-04:00May 5th, 2020|Research Insights, Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging given the growth profile, complexity of the business, and erratic [...]

Low Volatility-Momentum Versus Value-Momentum Factor Portfolios

By |2020-03-13T11:40:42-04:00March 13th, 2020|Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Boring versus Cheap Winners

Low Volatility-Momentum Factor Investing Portfolios

By |2020-01-30T09:00:31-05:00January 30th, 2020|Research Insights, Factor Investing, Guest Posts, Momentum Investing Research, Low Volatility Investing|

INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary or structural issues and are usually rated “Sell” by brokers, [...]

Timing Low Volatility with Factor Valuations

By |2020-01-06T15:03:33-05:00January 16th, 2020|Research Insights, Factor Investing, Guest Posts, Low Volatility Investing|

INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data availability as few market participants disclose their holdings as well [...]

The Idiosyncratic Volatility Puzzle: Then and Now

By |2020-01-06T15:03:35-05:00January 9th, 2020|Research Insights, Larry Swedroe, Low Volatility Investing|

One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here). This is an anomaly because idiosyncratic volatility is viewed as a [...]

Forbidden Knowledge: Long-Only Academic Factors are Also Cool

By |2019-11-27T09:31:15-05:00November 27th, 2019|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

When Equity Factors Drop Their Shorts David Blitz, Guido Baltussen, and Pim van Vliet Working Paper A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

The Quality Factor—What Exactly Is It?

By |2019-10-22T07:26:53-04:00October 22nd, 2019|Quality Investing, Research Insights, Factor Investing, Low Volatility Investing|

While the quality factor has been identified in the literature (including papers such as “Buffett’s Alpha,” “Global Return Premiums on Earnings Quality, Value, and Size,” and “The Excess Returns of ‘Quality’ Stocks: A Behavioral Anomaly”), [...]

Can We Explain the Low Volatility Anomaly?

By |2019-08-22T09:12:16-04:00August 29th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the [...]

Betting Against Beta (BAB) Construction

By |2019-08-06T10:44:36-04:00August 6th, 2019|Research Insights, Low Volatility Investing|

One of the more popular equity strategies over the past decade is low volatility investing. Simply put, this is a systematic strategy that invests in stocks with lower volatility, either measured by Beta or standard [...]

Can Low Vol Strategies Be Improved

By |2019-07-29T10:42:55-04:00July 30th, 2019|Research Insights, Factor Investing, Value Investing Research, Low Volatility Investing|

My Advisor Perspective article of June 17, 2019 discussed the regime shifting nature of the low volatility anomaly—low volatility stocks have outperformed high volatility stocks, providing both higher returns while experiencing lower volatility. For example, [...]

Factor Investing Research On Steroids

By |2019-06-18T13:04:25-04:00June 18th, 2019|Quality Investing, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin Wang Working paper A version of this paper can be found here What are the research questions? [...]

Compound Your Knowledge Ep. 14: Sentiment and Bonds, Volatility, & ESG

By |2019-06-18T09:04:21-04:00June 3rd, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Podcasts and Video, Media, Low Volatility Investing|

In this week's video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The second article, written by Larry Swedroe, examines two papers using [...]

Volatility Targeting Improves Risk-Adjusted Returns

By |2019-05-21T13:18:18-04:00May 22nd, 2019|Research Insights, Larry Swedroe, Other Insights, Low Volatility Investing, Tactical Asset Allocation Research|

There’s a large body of research, including the 2017 study “Tail Risk Mitigation with Managed Volatility Strategies” by Anna Dreyer and Stefan Hubrich, that demonstrates that, while past returns do not predict future returns, past [...]

Volatility Anomalies: IVOL and Vol-of-Vol

By |2019-05-21T11:53:51-04:00May 21st, 2019|Research Insights, Factor Investing, Larry Swedroe, Low Volatility Investing|

Two of the more interesting puzzles in finance are related to volatility—stocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high uncertainty about risk, as measured by the volatility of expected [...]

Low Volatility Can Be Low Turnover

By |2019-02-25T08:57:46-05:00February 25th, 2019|Research Insights, Basilico and Johnsen, Low Volatility Investing|

Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Video: Alpha Architect Weekly Research Recap (Jack & Ryan)

By |2018-09-17T08:11:56-04:00September 14th, 2018|Research Insights, Podcasts and Video, Academic Research Insight, Weekly Research Recap Videos, Low Volatility Investing|

You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we examine a summary by Larry Swedroe that highlights the Betting [...]

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