My beta indices showed the value of low volatility equity strategies, as the previously high-flying high beta stocks were crushed in May, and so now lag the S&P500 year-to-date. Low beta strategies, meanwhile, crept up and overtook the basic S&P500 benchmark. Above is a total return chart for daily data.
These beta portfolios consist of the the top/bottom beta 100 non-etf, non-ADR, non-REIT equities that were in the top 2000 market cap stocks in the US. Beta was measured using daily data over the prior year as of December 31, 2011.
These beta portfolios consist of the the top/bottom beta 100 non-etf, non-ADR, non-REIT equities that were in the top 2000 market cap stocks in the US. Beta was measured using daily data over the prior year as of December 31, 2011.
1 comment:
I've heard of Low Vol strategies. Not entirely sure what this means though - another way of saying more conservative stocks?
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