{"title":"Low-Beta Strategies","authors":"O. Korn, Laura-Chloé Kuntz","doi":"10.2139/ssrn.2647474","DOIUrl":"https://doi.org/10.2139/ssrn.2647474","url":null,"abstract":"This paper analyzes trading strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the portfolio. Our empirical results for US stocks show that this choice is very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk factors. The weighting of stocks within the low-beta and high-beta portfolios and the chosen investment universe are essential design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can even become insignificant.","PeriodicalId":186977,"journal":{"name":"Capital Markets III","volume":"239 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113983059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}