Low Volatility Investing

///Low Volatility Investing

Low-Volatility or Low-Beta Research

Swedroe Spotlight: Explaining the Low Risk Effect

By | 2017-08-18T16:56:28+00:00 February 21st, 2017|Larry Swedroe, $usmv, $iwb, Research Insights, Guest Posts, $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 | 2017-08-18T16:52:04+00:00 February 17th, 2017|Factor Investing, Research Insights, 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+00:00 November 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 [...]

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An Evidence-Based Low Volatility Investing Discussion

By | 2017-08-18T17:10:37+00:00 November 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, [...]

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Predicting Booms and Busts in Low Volatility Strategies

By | 2017-08-18T16:59:12+00:00 September 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+00:00 May 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+00:00 March 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+00:00 December 19th, 2014|Investor Education, Introduction Course, 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+00:00 October 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 [...]

Low-Volatility Investing: Avoid High Beta Stocks. Period.

By | 2017-08-18T17:01:16+00:00 October 9th, 2014|Key Research, Low Volatility Investing|

We've posted simulation and research-based studies on value and momentum. The evidence was pretty clear: never buy expensive stocks (Value) and ride winners and cut losers (Momentum). Another common "anomaly" is the low volatility anomaly. [...]

Low Short Interest Dominates Low Vol Strategies

By | 2017-08-18T17:01:17+00:00 June 11th, 2014|Research Insights, Low Volatility Investing|

The Long and Short of the Vol Anomaly Jordan and Riley A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract: On [...]

Betting Against Beta or Demand for Lottery?

By | 2017-08-18T17:09:21+00:00 June 9th, 2014|Research Insights, Low Volatility Investing|

Betting Against Beta or Demand for Lottery Bali, Brown, Murray, and Tang A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract: [...]