Thursday, May 31, 2012

May Great Month for Low Vol Strategies

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.

1 comment:

alternative investment said...

I've heard of Low Vol strategies. Not entirely sure what this means though - another way of saying more conservative stocks?