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.
|Journal||Financial Analysts Journal|
|Number of pages||18|
|Publication status||Published - 2014|
Asness, C. S., Frazzini, A., & Heje Pedersen, L. (2014). Low-Risk Investing without Industry Bets. Financial Analysts Journal, 70(4), 24-41. http://sfx-45cbs.hosted.exlibrisgroup.com/45cbs?url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&ctx_enc=info:ofi/enc:UTF-8&ctx_ver=Z39.88-2004&rfr_id=info:sid/sfxit.com:azlist&sfx.ignore_date_threshold=1&rft.object_id=954921343170&rft.object_portfolio_id=&svc.holdings=yes&svc.fulltext=yes