Market Neutrality and Beta Crashes
Xu (2024) studies the low-volatility anomaly. The abstract mentions transaction costs but not a benchmark, an out-of-sample test, multiple testing or the size of the universe.
“However, we find that BAB fails to systematically remain market neutral, and the deviations often arrive in the shape of crashes.”
StrategyLow-volatility anomalymarket timing
Long/shortLong-short
Also stated: costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
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The paper's neighbourhoodLow-volatility anomaly by year
FamilyLow-volatility anomaly25Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 977
AssetEquities21
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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