Low Volatility Investing Explained
Автор: Alpha Architect
Загружено: 2024-09-28
Просмотров: 830
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Welcome to Coffee Hour with Jose. Today, we dive deep into the world of low volatility investing. What is it? Why does the phenomenon exist? And how can an investor implement the factor? We explore the effects of directly targeting a portfolio of low volatility stocks vs. utilizing low volatility as part of a portfolio screening process.
0:00 - Intro
1:32 - What is Beta?
2:06 - Betting Against Beta
4:19 - Why Has It Worked?
5:07 - Implementing Low Volatility with Jack Vogel
6:09 - Outro
Sources:
Bali Truan G., Cakici Nusret, and Robert F. Whitelaw,
"Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns"
Journal of Financial Economics (2011) pp. 427-428.
Frazzini, Andrea and Pedersen, Lasse Heje, Betting Against Beta (October 9, 2011). Swiss Finance Institute Research Paper No. 12-17.
Background photo by Annie Spratt on Unsplash.
Disclosures: https://alphaarchitect.com/disclosures.
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