The Low Volatility Anomaly in Equity Sectors – 10 Years Later!

9 Pages Posted: 12 Nov 2020 Last revised: 18 Nov 2020

See all articles by Benoit Bellone

Benoit Bellone

BNP Paribas Asset Management

Raul Leote de Carvalho

BNP Paribas Asset Management

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

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

Benoit Bellone

BNP Paribas Asset Management ( email )

14 rue Bergère
Paris, 75009
France

Raul Leote de Carvalho (Contact Author)

BNP Paribas Asset Management ( email )

14 rue Bergere
Paris, 75009
France
0033158972183 (Phone)

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