出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The portfolio of low-volatility stocks earns high risk-adjusted returns over a full market cycle.The annual alpha spread of low versus high-volatility quintile portfolios is 25.53% in the Indian equity market for the period from January 2000 to September 2018.The low-volatility(LV)effect is not an overlap of other established factors such as size,value or momentum.The effect persists across various size buckets(market capi?talization).The performance of the low-volatility effect within various size buckets is analyzed using three different portfolio formation methods.Irrespective of the method of portfolio construction,the low-volatility effect exists and it also generates economi?cally and statistically significant risk-adjusted returns.The long-short portfolios across the study deliver exceptionally high and statistically significant returns accompanied by negative beta.The low-volatility effect is not restricted to small or illiquid stocks. The effect delivers the highest risk-adjusted returns for the portfolio consisting of large?cap stocks.Though the returns of the portfolio comprising of large-cap LV stocks are lower than the returns of the portfolio comprising of small-cap LV stocks,its Sharpe ratio is higher because of less risky nature of large-cap stocks as compared to small-cap stocks.The LV portfolio majorly comprises large-cap,growth and winner stocks.But within size buckets,large-cap and mid-cap low LV picks growth and winner stocks, while small-cap LV picks value stocks.
