tag:blogger.com,1999:blog-7905515.post3636956634845838337..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Robeco's Pim van Vliet has a new Low Vol bookEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-7905515.post-65954932521903241392017-01-11T20:12:58.009-06:002017-01-11T20:12:58.009-06:00People have asked me that since the late 90s (when...People have asked me that since the late 90s (when I couldn't get anyone to invest in low vol). I'd say it is still a small fraction of value, but generates a higher Sharpe, so ride it until it gets to the size of value.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-69963206317954276252017-01-10T13:29:27.114-06:002017-01-10T13:29:27.114-06:00Nice review of van Vliet's book, interesting S...Nice review of van Vliet's book, interesting SSRN paper reference ("Why the Low Volatility Anomaly Will Persist") and intriguing conclusion ("I am confident that most people will ignore his advice to their detriment"). <br /><br />There are many product areas with limited AUM gathering possibilities: "commodities", managed futures, etc. Small market opportunities combined with big marketing assertions.<br /><br />Given a global equity market cap of about $68 trillion ($26 trillion in the US), how large is the exploitable low vol market size/cap/opportunity? Anonymousnoreply@blogger.com