Is Low Vol a Beta Phenomenon?
Posted on November 19, 2012 at 08:42 AM EST
Eugene Fama states that the low volatility anomaly is really just the excess return low beta, and this has been well known for 50 years. I think its indisputable that low beta underperforms high beta, but I guess that’s a fun fact of contention. It’s fun to find yourself on the minority side of a fact [...]