Download This PaperThe Low Volatility Anomaly in Equity Sectors – 10 Years Later!
9 Pages Posted: 12 Nov 2020 Last revised: 18 Nov 2020
Date Written: August 11, 2020
Abstract
Ten years after showing that the low volatility anomaly in the performance of stocks is a phenomenon that should be considered in each sector as opposed to on an absolute basis ignoring sectors, we present evidence that this observation has held up well, and that if anything, has become even more valid.
Keywords: Low Volatility, Low Risk Anomaly, Minimum Variance, Minimum Volatility, Factor Investing, Equities, Smart Beta, Sectors
JEL Classification: G11, G12, G14, E44
Suggested Citation: Suggested Citation
Bellone, Benoit and Carvalho, Raul Leote de, The Low Volatility Anomaly in Equity Sectors – 10 Years Later! (August 11, 2020). Available at SSRN: https://ssrn.com/abstract=3697914 or http://dx.doi.org/10.2139/ssrn.3697914
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