Thursday, September 23, 2010

Minimum Variance and Beta Portfolio Data

I created indices based on the idea that since risk is not positively related to return, it is pretty straightforward to dominate the indices. Strangely, it isn't easy to find data on how 'high' or 'low' beta stocks are doing, other than incidentally by looking at tech stocks or some other proxy. The implication is that one should buy low volatility portfolios if one is a Sharpe ratio maximizer, or Beta 1.0 portfolios if one is an Information Ratio maximizer. Go to to see historical performance of these strategies. I update the information every month. No passwords, just free data to play with (downloadable!), data not easily available elsewhere.


Anonymous said...

Thanks Falken!

Anonymous said...