Posts Tagged ‘ low volatility investing ’

Betas of the low vol cohorts

April 4, 2012
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Betas of the low vol cohorts

How did the constraints affect portfolio betas, and how did the betas change over time? Previously “Low (and high) volatility strategy effects” created 6 sets of random portfolios — the so-called low vol cohorts — as of 2007 and showed their performance up to about a month ago. “Rebalancing the low vol cohorts” looked at … Continue reading...

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Low (and high) volatility strategy effects

March 23, 2012
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Low (and high) volatility strategy effects

Does minimum variance act differently from low volatility?  Do either of them act like low beta?  What about high volatility versus high beta? Inspiration Falkenblog had a post investigating differences in results when using different strategies for low volatility investing.  Here we look not at a single portfolio of a given strategy over time, but … Continue reading...

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What does ‘passive investing’ really mean?

February 20, 2012
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What does ‘passive investing’ really mean?

We know the words but what do they mean? Some definitions Here are some definitions of “passive investment management”. Investopedia says: A style of management associated with mutual and exchange-traded funds (ETF) where a fund’s portfolio mirrors a market index. Wikipedia says: Passive management (also called passive investing) is a financial strategy in which an investor (or … Continue reading...

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Beta and expected returns

September 16, 2011
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Beta and expected returns

Some pictures to explore the reality of the theory that stocks with higher beta should have higher expected returns. Figure 2 of “The effect of beta equal 1″ shows the return-beta relationship as downward sloping.  That’s a sample of size 1.  In this post we add six more datapoints. Data The exact same betas of … Continue reading...

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