Swedroe Spotlight: Explaining the Low Risk Effect

By |2017-08-18T16:56:28-04:00February 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.

Predicting Booms and Busts in Low Volatility Strategies

By |2017-08-18T16:59:12-04:00September 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 |2019-02-06T10:03:03-04:00May 17th, 2016|$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 [...]

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