The Performance of Volatility-Managed Portfolios

By |June 17th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Larry Swedroe, Trend Following, Tactical Asset Allocation Research|

As far back as 1976, with the publication of Fischer Black’s “Studies of Stock Price Volatility Changes” financial economists have known that volatility and returns are negatively correlated. This relationship results in the tendency to [...]

More on the Factor Investing Replication Debate

By |March 26th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing|

Open Source Cross-Sectional Asset Pricing Andrew Chen and Tom ZimmermannWorking paperA version of this paper can be found here What are the research questions? There has been a wave of articles (and press) suggesting that academic [...]

Low Volatility Factor Investing: Risk-Based or Behavioral-Based or Both?

By |March 8th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing|

Betting against correlation: Testing theories of the low-risk effect Cliff Asness, Andrea Frazzini, Niels Joachim Gormsen, Lasse Heje PedersenJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic [...]

Do Option Prices Inform Stock Returns?

By |June 18th, 2020|Volatility (e.g., VIX), Options, Research Insights, Larry Swedroe|

In perfectly efficient markets, option prices should not convey any new information or contribute to the price discovery of underlying assets. However, if markets are not perfectly efficient, traders with private information might prefer to [...]

Skulls, Financial Turbulence and Risk Management

By |May 11th, 2020|Volatility (e.g., VIX), Research Insights, Basilico and Johnsen, Academic Research Insight|

Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the Research Questions When hunting [...]

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