Low-Beta Strategies

43 Pages Posted: 20 Aug 2015 Last revised: 15 Jun 2017

See all articles by Olaf Korn

Olaf Korn

Georg-August-Universität Göttingen

Laura-Chloé Kuntz

University of Goettingen (Gottingen) - Chair of Finance

Date Written: June 1, 2016

Abstract

This paper analyzes trading strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the portfolio. Our empirical results for US stocks show that this choice is very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. The weighting of stocks within the low-beta and high-beta portfolios and the chosen investment universe are essential design elements of low-beta strategies too. If smaller frms are excluded, risk-adjusted returns of low-beta strategies can even become insignifcant.

Keywords: low-beta anomaly, trading strategies, factor risk premiums, smart beta

JEL Classification: G11, G12, G14

Suggested Citation

Korn, Olaf and Kuntz, Laura-Chloé, Low-Beta Strategies (June 1, 2016). 28th Australasian Finance and Banking Conference. Available at SSRN: https://ssrn.com/abstract=2647474 or http://dx.doi.org/10.2139/ssrn.2647474

Olaf Korn

Georg-August-Universität Göttingen ( email )

Platz der Göttinger Sieben 3
D-37073 Göttingen
Germany

Laura-Chloé Kuntz (Contact Author)

University of Goettingen (Gottingen) - Chair of Finance ( email )

Göttingen
Germany

Register to save articles to
your library

Register

Paper statistics

Downloads
913
rank
23,872
Abstract Views
3,340
PlumX Metrics