{"title":"低风险策略","authors":"O. Korn, Laura-Chloé Kuntz","doi":"10.2139/ssrn.2647474","DOIUrl":null,"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":0.0000,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Low-Beta Strategies\",\"authors\":\"O. Korn, Laura-Chloé Kuntz\",\"doi\":\"10.2139/ssrn.2647474\",\"DOIUrl\":null,\"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\":0.0000,\"publicationDate\":\"2016-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Capital Markets III\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2647474\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Capital Markets III","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2647474","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.
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