The Low-volatility Anomaly and the Adaptive Multi-Factor Model
“The AMF model outperforms the Fama-French 5-factor model both in-sample and out-of-sample.”
AssetEquities
StrategyLow-volatility anomalyfactor investing
TechniqueLinear factor model
GeographyEurope
Also stated: Excess return, Long-short, out-of-sample test
Missing from abstract: benchmark, costs, 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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