Institutional investment decisions are generally centered around mandates, where a manager's deviation from the benchmark is controlled by means of a tracking error volatility (TEV) constraint. This constraint is of absolute nature: once imposed, it should be honored irrespective of market...

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A shares market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama-French style VOL factor is not explained by the Fama-French-Carhart factors, and has the strongest...