Low-Risk Investing without Industry Bets

Clifford S. Asness, Andrea Frazzini, Lasse Heje Pedersen

Publikation: Bidrag til tidsskriftTidsskriftartikelpeer review

Abstrakt

The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-beta stocks (“betting against beta”) has been shown to deliver significant risk-adjusted returns. Some have suggested, however, that such “low-risk investing” delivers high returns primarily because of industry bets that favor a slowly changing set of stodgy, stable industries. The authors refute this notion by showing that a strategy of betting against beta has delivered positive returns both as an industry-neutral bet within each industry and as a pure bet across industries.
OriginalsprogEngelsk
TidsskriftFinancial Analysts Journal
Vol/bind70
Udgave nummer4
Sider (fra-til)24-41
Antal sider18
ISSN0015-198X
StatusUdgivet - 2014

Citationsformater