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Ben Felix · 发布于 2019年6月8日
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.cfm?abstract_id=2287202 Dissecting Anomalies with a Five-Factor Model - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2503174 Understanding Defensive Equity - https://www.semanticscholar.org/paper/Understanding-Defensive-Equity-Novy-Marx/5a1c0c2eb7b8c4a2bbd0615d5df9ddf8d4dd0160?p2df Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive - https://www.robeco.com/en/insights/2012/06/enhancing-a-low-volatility-strategy-is-particularly-helpful-when-generic-low-volatility-is-expensive.html Catch up on the latest investing advice, insights and white papers here. https://www.pwlcapital.com/teams/passmore-felix/?utm_source=youtube&utm_medium=copy&utm_campaign=ben2019&utm_content=lowvolatility ------------------ Follow Ben Felix on - Twitter: https://twitter.com/benjaminwfelix - LinkedIn: https://www.linkedin.com/in/benjaminwfelix/ PWL Capital Blog Post: https://www.pwlcapital.com/do-low-volatility-low-beta-etfs-make-sense/ Follow PWL Capital on: - Twitter: https://twitter.com/PWLCapital - Facebook: https://www.facebook.com/PWLCapital - LinkedIn: https://www.linkedin.com/company/pwl-capital/ You can find the Rational Reminder podcast on Google Podcasts: https://www.google.com/podcasts?feed=aHR0cHM6Ly9yYXRpb25hbHJlbWluZGVyLmxpYnN5bi5jb20vcnNz Apple Podcasts: https://itunes.apple.com/ca/podcast/the-rational-reminder-podcast/id1426530582?mt=2 Spotify Podcasts: https://open.spotify.com/show/6RHWTH9iW7hdnA7eAg7ukO?si=hjZNfLKuSjSeWX38GPqhVA ------------------
