The Volatility Effect: Lower Risk without Lower Return
“The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period.”
AssetEquitiessingle stocks
StrategyLow-volatility anomaly
GeographyGlobalUS
FrequencyAnnual
Also stated: 1986–2006, Alpha, Excess return
Missing from abstract: benchmark, out-of-sample test, 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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