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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.

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