tag:blogger.com,1999:blog-7905515.post6352185582845527778..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Is Low Vol a Beta Phenomenon?Eric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-7905515.post-38110564053245163652012-11-30T15:54:14.762-06:002012-11-30T15:54:14.762-06:00Is this working paper in sync with your findings?
...Is this working paper in sync with your findings?<br /><br />http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1967462Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-29701132031823260212012-11-21T21:16:31.575-06:002012-11-21T21:16:31.575-06:00This comment has been removed by a blog administrator.Anonymoushttps://www.blogger.com/profile/03352844134709941501noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-7339484927617095442012-11-19T16:37:10.818-06:002012-11-19T16:37:10.818-06:00yeah, my bad...I'm working on other stuff, but...yeah, my bad...I'm working on other stuff, but I found an error in that intermediate table--took wrong column--so that beta of the low beta portfolio is now much lower, the sharpe much higher...more later, busy nowEric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-18870581027547122432012-11-19T16:28:12.992-06:002012-11-19T16:28:12.992-06:00i) Calling a SR of 1.21 "much higher" th...i) Calling a SR of 1.21 "much higher" than 1.18 seems just unwarranted. Most likely, this difference is much smaller than variations you would obtain from changes in universe, in definitions of betas and vols, and of testing intervals.<br /><br />ii) Different performance on value stocks is just indicating that vol and beta interact with value differently, not that the volatility sort is more "anomalous" that the beta sort. And, even if you corrected that, be aware that tests based on double sorting are flawed to begin with. <br /><br />iii) Just regress returns of a low-vol portfolio vs that of a BAB portfolio, making sure you correct for autocorrelation and heteroskedasticity. Then report on the intercept and the R^2. If the former is positive and the R^2 is low, I will believe you.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-54389204284043706962012-11-19T13:39:31.902-06:002012-11-19T13:39:31.902-06:00Why does the explicity low beta portfolio have a h...Why does the explicity low beta portfolio have a higher average beta than the low-vol portfolio?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-22484293793743409332012-11-19T09:51:36.200-06:002012-11-19T09:51:36.200-06:00 Do you (or anyone) know of a site that has a vola... Do you (or anyone) know of a site that has a volatility screener?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-1868352000522714122012-11-19T06:43:39.070-06:002012-11-19T06:43:39.070-06:00"I think its indisputable that low beta under..."I think its indisputable that low beta underperforms high beta"<br /><br />I think this sentence needs to be fixed. Anonymousnoreply@blogger.com