Join 924 investors who get actionable, evidenced-based wealth management insights delivered directly to their inbox.
Subscribe

Low Vol Advantage Not What You’d Expect

One of the problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicted a positive relationship between risk and return. However, empirical studies have found the actual relationship to be flat, or even negative. Over the last 50 years, the most “defensive” stocks have delivered higher returns than the most “aggressive” stocks.

Additionally, defensive strategies, at least those based on volatility, have delivered significant Fama-French three-factor (beta, size and value) and Carhart four-factor (adding momentum) alphas.

Read the rest of the article on ETF.com.

 

We want to hear from you!

Montgomery

866.676.2701
info@jt-am.com
200 Commerce Street
Suite 300
Montgomery, AL 36104
Map

Dothan

334.793.7001
info@jt-am.com
304 Jamestown Boulevard
Dothan, AL 36301
Map

Receive Our Newsletter

Close