Animal Spirits Talk Your Book: The Low Vol Anomaly

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

The best stock ever (Altria)

Charts:

 

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