The low volatility anomaly and CAPM
A look at a paper that explores possible assumption failures [...]
Betas of the low vol cohorts
How did the constraints affect portfolio betas, and how did [...]
Beta is not volatility
The missing link between beta and volatility is correlation. Previously [...]
Low (and high) volatility strategy effects
Does minimum variance act differently from low volatility? Do either [...]
Beta and expected returns
Some pictures to explore the reality of the theory that [...]
A brief history of S&P 500 beta
Data The data are daily returns starting at the beginning [...]
Realized beta and beta equal 1
What does beta look like in the out-of-sample period for [...]
The effect of beta equal 1
Investment Performance Guy had a post about beta equal 1. [...]
4 and a half myths about beta in finance
Much of what has been said and thought about beta [...]