Remember me

Register  |   Lost password?




Introduction to QuantLib Development with Luigi Ballabio - London, November 14 - 16th, 2016 - http://bit.ly/QuantLib-2016

Falkenblog Blog Header

Low Vol Underperforming

Sun, 01 Apr 2012 20:33:03 GMT

Low volatility investors, now is the winter of our discontent. When the market does extremely well, high beta outperforms, low beta underperforms. Thus, even though low beta/volatility portfolios are up, they are not up nearly as much as the alternatives. That is benchmark risk, and why the low volatility strategy is not a slam dunk.

These are data I maintain, for the US.

, , ,