Dissecting the Performance of Low Volatility Investing

A low volatility portfolio aims to exploit the fact that, in the long run, low-risk stocks yield higher risk-adjusted returns than higher-risk stocks. But the low volatility portfolio’s lower beta – via the allocation effect – may drag down returns at times. We dissect the performance into the low volatility anomaly and the allocation effect, analyze the relative importance of the two and show ways to minimize the allocation effect’s drag on performance

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Year of publication:	[2023]
Authors:	Breloer, Bernhard ; Kolrep, Martin ; Paarmann, Thorsten ; Roscovan, Viorel
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Kapitalmarktrendite \| Capital market returns \| Kapitaleinkommen \| Capital income \| Börsenkurs \| Share price \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Invesco, 2022 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 30, 2023 erstellt
Classification:	C52 - Model Evaluation and Testing ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

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