notices - See details
Notices
Bridge over ocean
1 March 2014 Financial Analysts Journal Volume 70, Issue 2

The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects

Malcolm Baker, Brendan Bradley, and Ryan Taliaferro

Low-risk stocks have offered a combination of relatively low risk and high returns. We decomposed the low-risk anomaly into micro and macro components. The micro component comes from the selection of low-beta stocks. The macro component comes from the selection of low-beta countries or industries. Both parts contribute to the anomaly, with important implications for the construction of managed-volatility portfolios.

Read the Complete Article in Financial Analysts Journal Financial Analysts Journal CFA Institute Member Content