Abstract

Low-risk stocks have offered a combination of relatively low risk and high returns. We decomposed the low-risk anomaly into micro and macro components. The micro component comes from the selection of low-beta stocks. The macro component comes from the selection of low-beta countries or industries. Both parts contribute to the anomaly, with important implications for the construction of managed-volatility portfolios.

About the Author(s)

Malcolm Baker
Brendan Bradley
Ryan Taliaferro

Additional Information

Published by CFA Institute

16 pages

https://doi.org/10.2469/faj.v70.n2.2

ISSN: 0015-198X

We’re using cookies, but you can turn them off in Privacy Settings. If you use the site without changing settings, you are agreeing to our use of cookies. Learn more in our Privacy Policy.