On smart beta
A bit of perspective on a buzzword. The prompt The [...]
The low volatility anomaly and CAPM
A look at a paper that explores possible assumption failures [...]
Horses and volatility
Two items struck me as being connected. Maybe they are. [...]
Low volatility investing and benchmarks
The focus on tracking error rules out a low volatility [...]
Betas of the low vol cohorts
How did the constraints affect portfolio betas, and how did [...]
Low (and high) volatility strategy effects
Does minimum variance act differently from low volatility? Do either [...]
What does ‘passive investing’ really mean?
We know the words but what do they mean? Some [...]
Some papers on low volatility investing
Abnormal Returns points to The Capital Spectator piece Volatility & [...]
Beta and expected returns
Some pictures to explore the reality of the theory that [...]
An introduction to “Expected Returns” by Antti Ilmanen
The subtitle is "An Investor's Guide to Harvesting Market Rewards". [...]