Low-Volatility or Low-Beta Research
Low Volatility Anomaly Lacks Robustness?
Question: How many ETF companies are hawking "Smart" beta products that offer low volatility or low beta portfolios (we could probably throw minimum volatility in [...]
Low Beta/Vol Outperformance
There are many blogs/funds/research promoting low beta stocks as a way to get rich: A blog example --Falken A fund example --AQR Defensive Fund A [...]
Make 24bps a week trading skewness?
That is what Amaya, Christofferson, Jacobs, and Vasquez find. We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and [...]
Will My Risk Parity Strategy Outperform?
Will My Risk Parity Strategy Outperform? Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg A version of the paper can be found here. Abstract: [...]