Today’s Animal Spirits talk your book is brought to you by Invesco. To learn more about their ETFs, click here.
On today’s show, we talk about:
- What is the low volatility anomaly?
- Why CAPM doesn’t work within an asset class
- The three behavioral and structural reasons for the low vol anomaly
- How often do different factors overlap with one another?
- How the market environment impacts low vol and other factors
- Does low vol work well in mid caps and small caps?
- How important are sectors in factor exposure?
- What is the relationship between interest rates and volatility in stocks?
- How the bear market changed the flows into SPLV
- Why flows follow performance
- Where does the low volatility factor fit within a portfolio?
- How turnover affects performance in factor investing
- The difference between low volatility and minimum volatility
Listen here:
Links:
The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing
Low Volatility Needs Little Trading
Charts:
