Low Volatility Investing

Low-Volatility or Low-Beta Research

Timing Low Volatility with Factor Valuations

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 [...]

The Quality Factor—What Exactly Is It?

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,” [...]

Betting Against Beta (BAB) Construction

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 [...]

Can Low Vol Strategies Be Improved

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, [...]

Factor Investing Research On Steroids

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 [...]

Volatility Anomalies: IVOL and Vol-of-Vol

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 [...]

Low Volatility Can Be Low Turnover

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 [...]

Explaining the Beta Anomaly

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 [...]

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