Low Volatility Investing

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Low-Volatility or Low-Beta Research

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 VlietWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

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 WangWorking paperA version of this paper can be found here What are the research questions? Do the [...]

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 [...]

How Leverage Constraints Effect Mutual Fund Risk Taking

By |2018-09-14T15:56:24-04:00September 13th, 2018|Research Insights, Factor Investing, Larry Swedroe, Low Volatility Investing|

The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies here. This paper finds that, for U.S. stocks, the betting [...]

The Conservative Formula: Quantitative Investing made Easy

By |2018-09-05T10:14:34-04:00September 11th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]

Deconstructing the Low Volatility/Low Beta Anomaly

By |2018-07-20T12:12:26-04:00July 12th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the [...]

Explaining the Beta Anomaly

By |2018-06-27T09:40:49-04:00June 28th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

The superior performance of low-beta and low-volatility stocks was documented in the literature back in the 1970s — by Fischer Black (in 1972) among others — even before the size and value premiums were “discovered.” [...]