Ben Felix | Low Volatility - Low Beta ETFs @BenFelixCSI | Uploaded June 2019 | Updated October 2024, 4 minutes ago.
You may remember that market beta is a measure of the sensitivity between an asset or portfolio and the risk of the overall market. A portfolio with a beta of 1 moves with the market, so if the market drops 10%, we would expect the portfolio to do the same. A portfolio or asset with a lower beta would be less volatile than the market.
In an efficient financial market, risk and expected return should be related. Based on this relationship we would expect higher beta stocks, stocks with more risk relative to the market, to have higher returns.
Referenced in this video:
A Five-Factor Asset Pricing Model - papers.ssrn.com/sol3/papers.cfm?abstract_id=2287202
Dissecting Anomalies with a Five-Factor Model - papers.ssrn.com/sol3/papers.cfm?abstract_id=2503174
Understanding Defensive Equity - semanticscholar.org/paper/Understanding-Defensive-Equity-Novy-Marx/5a1c0c2eb7b8c4a2bbd0615d5df9ddf8d4dd0160?p2df
Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive - robeco.com/en/insights/2012/06/enhancing-a-low-volatility-strategy-is-particularly-helpful-when-generic-low-volatility-is-expensive.html
Catch up on the latest investing advice, insights and white papers here.
pwlcapital.com/teams/passmore-felix/?utm_source=youtube&utm_medium=copy&utm_campaign=ben2019&utm_content=lowvolatility
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Follow Ben Felix on
- Twitter: twitter.com/benjaminwfelix
- LinkedIn: linkedin.com/in/benjaminwfelix
PWL Capital Blog Post: pwlcapital.com/do-low-volatility-low-beta-etfs-make-sense
Follow PWL Capital on:
- Twitter: twitter.com/PWLCapital
- Facebook: facebook.com/PWLCapital
- LinkedIn: linkedin.com/company/pwl-capital
You can find the Rational Reminder podcast on
Google Podcasts:
google.com/podcasts?feed=aHR0cHM6Ly9yYXRpb25hbHJlbWluZGVyLmxpYnN5bi5jb20vcnNz
Apple Podcasts:
itunes.apple.com/ca/podcast/the-rational-reminder-podcast/id1426530582?mt=2
Spotify Podcasts:
open.spotify.com/show/6RHWTH9iW7hdnA7eAg7ukO?si=hjZNfLKuSjSeWX38GPqhVA
------------------
You may remember that market beta is a measure of the sensitivity between an asset or portfolio and the risk of the overall market. A portfolio with a beta of 1 moves with the market, so if the market drops 10%, we would expect the portfolio to do the same. A portfolio or asset with a lower beta would be less volatile than the market.
In an efficient financial market, risk and expected return should be related. Based on this relationship we would expect higher beta stocks, stocks with more risk relative to the market, to have higher returns.
Referenced in this video:
A Five-Factor Asset Pricing Model - papers.ssrn.com/sol3/papers.cfm?abstract_id=2287202
Dissecting Anomalies with a Five-Factor Model - papers.ssrn.com/sol3/papers.cfm?abstract_id=2503174
Understanding Defensive Equity - semanticscholar.org/paper/Understanding-Defensive-Equity-Novy-Marx/5a1c0c2eb7b8c4a2bbd0615d5df9ddf8d4dd0160?p2df
Enhancing a low-volatility strategy is particularly helpful when generic low volatility is expensive - robeco.com/en/insights/2012/06/enhancing-a-low-volatility-strategy-is-particularly-helpful-when-generic-low-volatility-is-expensive.html
Catch up on the latest investing advice, insights and white papers here.
pwlcapital.com/teams/passmore-felix/?utm_source=youtube&utm_medium=copy&utm_campaign=ben2019&utm_content=lowvolatility
------------------
Follow Ben Felix on
- Twitter: twitter.com/benjaminwfelix
- LinkedIn: linkedin.com/in/benjaminwfelix
PWL Capital Blog Post: pwlcapital.com/do-low-volatility-low-beta-etfs-make-sense
Follow PWL Capital on:
- Twitter: twitter.com/PWLCapital
- Facebook: facebook.com/PWLCapital
- LinkedIn: linkedin.com/company/pwl-capital
You can find the Rational Reminder podcast on
Google Podcasts:
google.com/podcasts?feed=aHR0cHM6Ly9yYXRpb25hbHJlbWluZGVyLmxpYnN5bi5jb20vcnNz
Apple Podcasts:
itunes.apple.com/ca/podcast/the-rational-reminder-podcast/id1426530582?mt=2
Spotify Podcasts:
open.spotify.com/show/6RHWTH9iW7hdnA7eAg7ukO?si=hjZNfLKuSjSeWX38GPqhVA
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