Animal Spirits Talk Your Book: The Low Vol Anomaly
Courtesy of Michael Batnick
Today’s Animal Spirits talk your book is brought to you by Invesco. To learn more about their ETFs, click here.
On today’s show, we talk about:
- What is the low volatility anomaly?
- Why CAPM doesn’t work within an asset class
- The three behavioral and structural reasons for the low vol anomaly
- How often do different factors overlap with one another?
- How the market environment impacts low vol and other factors
- Does low vol work well in mid caps and small caps?
- How important are sectors in factor exposure?
- What is the relationship between interest rates and volatility in stocks?
- How the bear market changed the flows into SPLV
- Why flows follow performance
- Where does the low volatility factor fit within a portfolio?
- How turnover affects performance in factor investing
- The difference between low volatility and minimum volatility
Listen here:
Links:
The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing
Low Volatility Needs Little Trading
Charts:
