Low Volatility - Low Beta ETFs
50.3 هزار بار بازدید -
5 سال پیش
-
You may remember that market
You may remember that market beta is a measure of the sensitivity between an asset or portfolio and the risk of the overall market. A portfolio with a beta of 1 moves with the market, so if the market drops 10%, we would expect the portfolio to do the same. A portfolio or asset with a lower beta would be less volatile than the market.
In an efficient financial market, risk and expected return should be related. Based on this relationship we would expect higher beta stocks, stocks with more risk relative to the market, to have higher returns.
Referenced in this video:
A Five-Factor Asset Pricing Model - https://papers.ssrn.com/sol3/papers.c...
Dissecting Anomalies with a Five-Factor Model - https://papers.ssrn.com/sol3/papers.c...
Understanding Defensive Equity - https://www.semanticscholar.org/paper...
Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive - https://www.robeco.com/en/insights/20...
Catch up on the latest investing advice, insights and white papers here.
https://www.pwlcapital.com/teams/pass...
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Follow Ben Felix on
- Twitter: Twitter: benjaminwfelix
- LinkedIn: LinkedIn: benjaminwfelix
PWL Capital Blog Post: https://www.pwlcapital.com/do-low-vol...
Follow PWL Capital on:
- Twitter: Twitter: PWLCapital
- Facebook: Facebook: PWLCapital
- LinkedIn: LinkedIn: pwl-capital
You can find the Rational Reminder podcast on
Google Podcasts:
https://www.google.com/podcasts?feed=...
Apple Podcasts:
https://itunes.apple.com/ca/podcast/t...
Spotify Podcasts:
https://open.spotify.com/show/6RHWTH9...
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In an efficient financial market, risk and expected return should be related. Based on this relationship we would expect higher beta stocks, stocks with more risk relative to the market, to have higher returns.
Referenced in this video:
A Five-Factor Asset Pricing Model - https://papers.ssrn.com/sol3/papers.c...
Dissecting Anomalies with a Five-Factor Model - https://papers.ssrn.com/sol3/papers.c...
Understanding Defensive Equity - https://www.semanticscholar.org/paper...
Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive - https://www.robeco.com/en/insights/20...
Catch up on the latest investing advice, insights and white papers here.
https://www.pwlcapital.com/teams/pass...
------------------
Follow Ben Felix on
- Twitter: Twitter: benjaminwfelix
- LinkedIn: LinkedIn: benjaminwfelix
PWL Capital Blog Post: https://www.pwlcapital.com/do-low-vol...
Follow PWL Capital on:
- Twitter: Twitter: PWLCapital
- Facebook: Facebook: PWLCapital
- LinkedIn: LinkedIn: pwl-capital
You can find the Rational Reminder podcast on
Google Podcasts:
https://www.google.com/podcasts?feed=...
Apple Podcasts:
https://itunes.apple.com/ca/podcast/t...
Spotify Podcasts:
https://open.spotify.com/show/6RHWTH9...
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5 سال پیش
در تاریخ 1398/03/18 منتشر شده
است.
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