Low Volatility Investing

///Low Volatility Investing

Low-Volatility or Low-Beta Research

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

By |2018-09-17T08:11:56+00:00September 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+00:00September 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+00:00September 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+00:00July 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+00:00June 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.” [...]

Investor Attention and the Low Volatility Anomaly

By |2018-05-20T11:58:54+00:00May 24th, 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 Demand for Higher Beta Stocks

By |2018-05-17T07:52:53+00:00May 17th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

The Capital Asset Pricing Model (CAPM) indicates returns should go up linearly as beta increases (in other words, risk and return are positively related). However, as I’ve previously discussed, the historical evidence demonstrates that, while [...]

Are Factors Better and More Diversifying Than Asset Classes?

By |2018-02-23T11:06:14+00:00February 23rd, 2018|Factor Investing, Trend Following, Guest Posts, Low Volatility Investing|

Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low correlation to existing holdings. Historically, pure factor exposures have earned [...]

Can asset bubbles be mathematically quantified before they burst?

By |2017-11-13T13:08:42+00:00November 14th, 2017|Research Insights, Guest Posts, Low Volatility Investing, Macroeconomics Research|

The subject of asset bubbles and market crashes has fascinated me for more than 20 years. As an options market maker for Susquehanna International Group ("SIG"), extreme price movements were a daily source of concern. I [...]

Swedroe Spotlight: Explaining the Low Risk Effect

By |2017-08-18T16:56:28+00:00February 21st, 2017|Research Insights, Larry Swedroe, $usmv, Guest Posts, $iwb, $SPLV, Low Volatility Investing|

Before proceeding, it’s important to note that beta and volatility are related, though not the same. Beta depends on volatility and correlation to the market, whereas volatility is related to idiosyncratic risk (see here for an explanation of how to calculate the different measures).The superior performance of low-volatility and low-beta stocks was first documented in the literature in the 1970s — by Fischer Black (in 1972) among others — even before the size and value premiums were “discovered.” And the low-volatility anomaly has been shown to exist in equity markets around the world. Interestingly, this finding is true not only for stocks, but for bonds as well. In other words, it has been pervasive.

Will ETFs Destroy Factor Investing? Nope.

By |2018-04-05T10:33:09+00:00February 17th, 2017|Research Insights, Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research, Low Volatility Investing, Size Investing Research|

One of the popular investing truisms is the following (inspired by Bill Sharpe): For somebody to beat the market (win) someone else has to lag the market (lose). This becomes an even more daunting (efficient [...]

Is the Low Volatility Anomaly driven by Lottery Demand?

By |2017-08-18T17:01:38+00:00November 30th, 2016|Research Insights, Key Research, Low Volatility Investing|

A few years ago I wrote a summary on a working paper titled "A Lottery Demand-Based Explanation of the Beta Anomaly." The paper is still a working paper, and has been updated (unfortunately they took [...]

An Evidence-Based Low Volatility Investing Discussion

By |2017-08-18T17:10:37+00:00November 16th, 2016|Research Insights, Low Volatility Investing|

Jack and I had the honor of attending the Evidence-Based Investing conference, hosted by the team at Ritholz Wealth Management. Wow. What a great event and a great group of inspiring investors and thinkers. Abe, Meb, [...]

Predicting Booms and Busts in Low Volatility Strategies

By |2017-08-18T16:59:12+00:00September 27th, 2016|Research Insights, $SPLV, Low Volatility Investing|

Low volatility funds are some of the best performers in the market these days. As such, they have attracted renewed attention in addition to significant asset flows. (note: a refresher on low volatility investing is here, h.t. Eric [...]

Not so Simple: Valuations and Low Volatility Strategies

By |2017-08-18T16:59:46+00:00May 17th, 2016|Key Research, $SPLV, Low Volatility Investing|

Low volatility funds are everywhere. The reasons for their proliferation are clear: Who wouldn't want to own something with the label "low volatility" and Recent performance has been great. Open the AUM floodgates! But perhaps [...]

Why The Low-Volatility Anomaly Exists

By |2017-08-18T16:52:07+00:00March 5th, 2015|Research Insights, Low Volatility Investing, $SPY|

Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly Baker, Bradley and Wurgler A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]

How to Calculate Volatility in Excel

By |2017-08-18T17:03:26+00:00December 19th, 2014|Introduction Course, Investor Education, Low Volatility Investing|

Wild-swinging oil prices have caused some chaos, or "volatility," in the financial markets recently. We've also heard a lot in the financial media regarding the strong performance of "low volatility" funds. But what exactly is [...]

The Fascinating Relationship Between Low Volatility and Value

By |2017-08-18T16:55:37+00:00October 14th, 2014|Key Research, Low Volatility Investing|

A week ago, we posted an article that presented simulation performances of low-volatility strategies. The results illustrated that low-volatility portfolios do have higher returns and lower risks than high-volatility portfolios. The point of this research piece is to [...]

Yes No
This website uses cookies and third party services. Settings Ok

Cookies

We use “cookies” on this site. A cookie is a piece of data stored on a site visitor’s hard drive to help us improve your access to our site and identify repeat visitors to our site. For instance, when we use a cookie to identify you, you would not have to log in a password more than once, thereby saving time while on our site. Cookies can also enable us to track and target the interests of our users to enhance the experience on our site. Usage of a cookie is in no way linked to any personally identifiable information on our site. Some of our business partners may use cookies on our site (for example, advertisers). However, we have no access to or control over these cookies.

Embedded Content

Articles on this Site may include embedded content (e.g. videos, images, articles, etc.). Embedded content from other websites behaves in the exact same way as if the visitor has visited the other website.These websites may collect data about you, use cookies, embed additional third-party tracking, and monitor your interaction with that embedded content, including tracking your interaction with the embedded content if you have an account and are logged in to that website.