Low-Risk Investing without Industry Bets

Clifford S. Asness, Andrea Frazzini, Lasse Heje Pedersen

Research output: Contribution to journalJournal articleResearchpeer-review


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.
Original languageEnglish
JournalFinancial Analysts Journal
Issue number4
Pages (from-to)24-41
Number of pages18
Publication statusPublished - 2014

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